UNITED STATES
SECURITIES AND EXCHANGE COMMISSION
Washington, D.C. 20549
FORM N-CSR
CERTIFIED SHAREHOLDER REPORT OF REGISTERED MANAGEMENT
INVESTMENT COMPANIES
Investment Company Act file number 811-21749
CRM Mutual Fund Trust
(Exact name of registrant as specified in charter)
c/o BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19808
(Address of principal executive offices) (Zip code)
Corporation Service Company
2711 Centerville Road Suite 400
Wilmington, DE 19808
(Name and address of agent for service)
Copy to:
Lea Anne Copenhefer
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Registrant’s telephone number, including area code: 212-326-5300
Date of fiscal year end: June 30
Date of reporting period: December 31, 2015
Item 1. Reports to Stockholders.
The Report to Shareholders is attached herewith.
SEMI-ANNUAL REPORT | December 31, 2015 |
Dear Fellow Shareholders:
In tribute to the late Yogi Berra, the third quarter of 2015 was “déjà vu all over again.” The equity markets produced negative returns and the headlines were very reminiscent of the third quarter in 2011. The U.S. Congress was once again unable to exercise fiscal responsibility, creating uncertainty on the budget and debt ceiling. Unlike in 2011, the Republicans control both houses of Congress, but they have been incapable of unifying their party to avoid another legislative showdown. The Chinese economy has been slowing for many quarters, but the sudden devaluation of the Yuan caught markets by surprise in mid-August. Most of the economic data out of China confirmed a slowdown and their stock markets have been on an eye-popping roller coaster ride all year. Commodity prices remained under pressure, providing additional headwinds for many developing countries caught in a negative feedback loop of weaker exports and higher inflation. This stagflation has contributed to some political instability and episodic social unrest. Developments in Europe were less of a factor than in 2011, but growth remained modest and the ECB seemed poised to provide more QE stimulus before year-end. Despite a stronger 2Q GDP report and positive revisions, most U.S. economic data for 3Q was on the weaker side and corporate earnings (even excluding energy) have been anemic.
The Federal Reserve remained an enigma. For more than a year, it indicated a desire to begin normalizing federal funds rates. On a number of occasions, the equity and bond markets seemed prepared for the Fed to act. This indecision has been another weight upon the equity markets. The Fed seemed encouraged by employment trends and the eventual impact of those trends on inflation, but then succumbed to concerns over issues and events off our shores. The U.S. Fed cannot become the world’s central bank, but it is not clear the voting members of the Federal Open Market Committee (FOMC) have solved this dilemma. We have been in the camp of wanting the Fed to get started, as we believe the uncertainty can be more of a weight on economic growth than the actual impact of 100bps higher rates over the next year.
There were a number of other important developments in the third quarter. Volkswagen seemingly perpetrated one of the largest industrial frauds in history. It’s a nightmare for its customers and a reminder of the importance of insisting on sound corporate governance. Glencore, the mining and commodity trading giant, saw its stock plummet and its credit default swaps soar as “black box” balance sheet fears gripped the markets. More recently, as commodities stabilized, so did the Glencore securities. Hillary Clinton, clearly seeking to redirect the media’s attention from Trump and the other Republican candidates, tweeted the equivalent of a “healthcare grenade” eight trading days before the end of the quarter. While there is merit to policing price gouging, the entire sector became tarnished. Healthcare stocks faced rapid multiple compression after having been the leadership group for the past two to three years. There always seems to be a domino effect or circular logic at play whenever the markets convulse, but widening credit spreads, concerns over the ability to access equity and debt markets weighed heavily on master limited partnerships and other dividend-focused securities, as well as merger & acquisition activity. Hedge funds reportedly suffered from much of the above turbulence, which apparently led to further balance sheet derisking. All in all, it made for a tough quarter for the markets.
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After a difficult third quarter, U.S. equity markets staged a strong recovery, thanks mostly to a rapid and robust October rally. Counterintuitively, in the aftermath of the Federal Reserve’s decision not to raise the Fed Funds rate in September and a weak monthly employment report, the more cyclical parts of the market led the way. As we noted above, it was not clear whether there was any fundamental underpinning to this leadership. Ultimately, earnings disappointments, concerns about slowing global growth, and poor forward guidance by industrial/material/energy companies contributed to renewed underperformance by these groups, with many stocks retesting lows by year end. However, other sectors, and in particular a handful of large cap growth stocks, sustained enough performance to leave the S&P 5001 essentially flat on the year. In general, for the fourth quarter and the year, larger capitalization and growth-oriented companies outperformed the smaller/more classic value segment of the market.
The big story of the fourth quarter was, of course, the Fed finally raising the Fed Funds rate by 25 basis points in mid-December. By the date of the meeting, the policy change was well anticipated by the markets. The only mystery was how the Committee’s economic forecast (so called DOTS) would change. The Committee did lower its forecasts, but remained stronger than current market expectations. There does seem to be a disconnect between equity market leadership (more defensive/growth oriented) and the Fed’s desire to raise interest rates based on its forecasts. The guessing game of how much and how quickly the Fed will raise rates in 2016/2017 will likely continue to contribute to market and sector specific volatility in the months ahead.
Commodity price deflation continued to be a factor during the fourth quarter, as it has been all year. Oil prices bounced between $40-$50 for most of 2015 creating periodic rallies in energy and related securities. Earlier in the year, the capital markets were receptive to financing energy companies, but as oil prices weakened, high yield spreads for energy credits widened, creating further pressure on the equities. High yield market indices declined by over 10% for the year with energy credits leading the way down by more than 20%. The December OPEC (Organization of the Petroleum Exporting Countries) meeting led to a more than 10% drop in oil prices, further pressuring energy securities late in the year. As the Saudi leadership seems to recognize, ultimately the laws of supply and demand will stabilize oil prices. Barring a global recession, the dramatic decline in global oil capex spending (-50% in the U.S. over two years), combined with annual production decline curves, will bring supply in line with demand over time.
In an environment of sluggish growth and available capital, corporate restructurings, activism, and merger & acquisition activity remain important drivers of stock specific performance. Large transactions, such as Anheuser Busch/SAB Miller, Pfizer/Allergan, Dow/DuPont, Dell/EMC, and Marriott/Starwood, were all announced during the quarter. Many of these deals along with others announced over the past year are bold attempts to aggressively reshape industries. They can also be viewed as defensive, providing substantial cost reduction opportunities when revenue growth is scarce. We are enthusiastic about the Allergan transaction in particular. The new $300 billion market cap company is expected to be net debt free, pay a 4% dividend, and have many options to further enhance shareholder value. While 2015 was a record M&A year in dollar terms behind these mega deals, we are likely to see an increase in small to mid-sized transactions in 2016 as sellers become more motivated behind fears of higher interest rates, political uncertainty, and sluggish growth prospects.
We have previously highlighted spin-off opportunities and last quarter specifically noted the pending split of Computer Sciences into two companies. While we expected the new government services company, CSRA, to quickly revalue in line with its peers, just the opposite happened. As a late year spin-off with little sponsorship, the stock has experienced more of the classic spin-off effect and traded a bit lower. The backdrop for the government information technology (IT) services industry continues to improve and was further bolstered by the government appropriations bill passed by Congress in December, which should help the company.
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We expect the year ahead to resemble 2015 in terms of volatility and relatively low rates of return. As commodity prices and currencies anniversary, the outlook for earnings growth should improve in the back half of the year. S&P earnings in 2015 were consistently revised lower and the consensus currently is expecting 7% EPS (earnings per share) growth in 2016. In the face of potentially higher interest rates, it is difficult to argue for multiple expansion. In such a low growth/low return environment, stock selection will continue to be of paramount importance. The types of change and transformation we seek out should provide many opportunities for differentiated stock performance in the new year.
The following is a discussion of factors that influenced the performance of each of the CRM Funds during the six month period ended December 31, 2015.
CRM Small Cap Value Fund returned -6.30% and -6.38% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -8.17% for the Russell 2000 Value Index2 and -8.75% for the Russell 2000 Index2. The fund’s relative outperformance versus the Russell 2000 Value Index during the period was primarily driven by stock selection within financial services, producer durables, and utilities. Individual holdings that positively impacted performance included James River Group Holdings Ltd., a Bermuda-based insurance holding company; John Bean Technologies Corporation, a global technology solutions provider for the food processing and air transportation industries; and Mack-Cali Realty Corporation, a self-administered and self-managed real estate investment trust (REIT). James River Group Holdings reported better than expected results due to healthy top line growth in its excess and surplus insurance business, which also helped to leverage its expenses. The company has an enviable niche franchise in a consolidating market. John Bean Technologies Corporation posted another strong quarterly result that surpassed expectations. In addition, the company completed two tuck-in acquisitions that should provide a tailwind to earnings in 2016 and 2017. We purchased shares of Mack-Cali Realty Corporation in the third quarter, and in the fourth quarter, the company unveiled a long-term strategic outlook in which it detailed plans to improve the quality of its real estate portfolio and enhance operating efficiency. The company also reported a better than expected third quarter earnings result and issued guidance for 2016 that exceeded expectations.
Stock selection across consumer staples and technology was a headwind to performance in the second half of the calendar year. Holdings that negatively impacted performance included Bonanza Creek Energy, Inc., a U.S. oil and gas exploration and production company; CONMED Corporation, a medical technology company; and C&J Energy Services, Inc., a provider of hydraulic fracturing, coiled tubing, wireline and other complementary services. Bonanza Creek Energy shares were buffeted by the dramatic decline in oil prices during the quarter. We expect oil prices to improve gradually over the next year as the supply-demand imbalance improves. We also expect the company’s bank group to reaffirm its credit line based on its strong balance sheet. CONMED Corporation reported weaker than expected results in the third quarter. However, the company reiterated full-year guidance and expressed confidence that its turnaround plan is well underway. C&J Energy Services negatively preannounced third quarter results and provided a disappointing outlook at the end of September. Depressed oil prices continue to weigh on drilling and completion activity. We believe that once activity levels find a bottom, C&J is well positioned to participate in any form of a recovery.
CRM Small/Mid Cap Value Fund returned -11.83% and -11.85% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -7.07% for the Russell 2500 Value Index3 and -7.36% for the Russell 2500 Index3. The main areas of relative underperformance versus the Russell 2500 Value Index can be attributed to stock selection within the materials & processing, financial services, and technology sectors. Top detractors during the period included Energen Corporation, an oil and gas exploration
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and production company; Belden, Inc. a signal transmission solutions provider; and Axiall Corporation, a manufacturer and international marketer of chemicals and building products. While Energen Corporation has been delivering on its plan for significant cost reductions and operational efficiencies, the company was subject to the broader sell-off in oil and gas equities. Belden lowered its full year guidance due to challenges in its Broadcast and Industrial businesses. We believe the stock reflects the headwinds facing the business and expect an inflection in free cash flow in the second half to provide support for the shares. Concerns about a softening economic outlook pressured shares of Axiall as investors weighed the risk of further downside to caustic soda and PVC prices. We believe the share price decline has created a disconnect between the value of the company as a whole when compared to the sum-of-its-parts. We believe new management has opportunities to unlock this value.
The main areas of contribution to performance in the second half of the calendar year were energy, producer durables, and health care. Stock selection in health care and energy provided positive contribution, and our underweight in producer durables also positively contributed to performance for the period. Individual holdings that positively impacted performance included water and wastewater utility holding company American Water Works Company, Inc., merchant and institution financial services company Vantiv, Inc., and global technology company Visteon Corporation. American Water Works delivered second quarter results that were better than expectations. The company closed four acquisitions in 2015 with several additional acquisitions pending. Vantiv’s second quarter earnings beat investor expectations and the company raised guidance for the balance of 2015. The company continues to demonstrate accelerating revenue growth driven by acquisitions. Visteon Corporation has performed well since Sachin Lawande was appointed CEO in June. We believe Lawande’s technology background will be an important asset. Visteon maintains an enviable position in dashboard information integration, which is becoming an increasingly important focus for car manufacturers.
CRM Mid Cap Value Fund returned -6.77% and -6.86% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -5.17% for the Russell Midcap Value Index4 and -4.68% for the Russell Midcap Index4. Relative underperformance versus the Russell Midcap Value Index for the period is primarily attributed to our stock selection within the energy sector and our overweight to consumer discretionary, a sector which underperformed during the time period. Top detractors during the period included apparel company PVH Corporation and energy companies Continental Resources, Inc. and Energen Corporation. PVH Corporation’s better than expected 3Q15 earnings were overshadowed by increased foreign-exchange pressure and the progressively challenging retail backdrop in the U.S. during 4Q15. Despite recent volatility, we continue to believe the margin opportunity in the Calvin Klein business is underappreciated. In addition, we expect the company to acquire outstanding brand licenses which should be accretive to earnings. In spite of strong operating performance in the past two quarters, Continental Resources’ share price has declined along with the price of oil. While Energen Corporation had been delivering on its plan for significant cost reductions and operational efficiencies, the company was subject to the broader sell-off in oil and gas equities.
Stock selection in health care and utilities provided positive contribution for the second half of the calendar year, and our underweight to materials and processing also positively impacted performance. Individual holdings that contributed to performance included water and wastewater utility holding company, American Water Works Company, Inc., networking company Equinix, Inc., and Computer Sciences Corporation, a global provider of information technology (IT) and professional services and solutions. American Water Works delivered second quarter results that were better than expectations. The company closed four acquisitions in 2015 with several additional acquisitions pending. The fundamentals of Equinix’s business continued to improve with strong customer demand and stable pricing. For the third consecutive quarter, Equinix raised its outlook for 2015 in
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the fourth quarter. The company’s acquisitions proceeded smoothly with the Bit-Isle and Telecity acquisitions receiving approval from European regulators in November. Computer Sciences Corporation successfully completed the spin-off of its government IT services business and announced plans to acquire two fast-growing overseas commercial IT services businesses. The company’s earnings growth should benefit from the improved mix of new business, continued cost takeouts, and stock buybacks.
CRM Large Cap Opportunity Fund returned -5.10% and -5.27% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -3.23% for the Russell 1000 Value Index5 and -0.78% for the Russell 1000 Index5. The main area of relative underperformance versus the Russell 1000 Value Index was stock selection within the energy sector. Top individual detractors from the Fund’s performance during the second half of the fiscal year included apparel company PVH Corporation and energy companies Whiting Petroleum Corporation and Weatherford International Plc. PVH Corporation’s better than expected 3Q15 earnings were overshadowed by increased foreign-exchange pressure and the progressively challenging retail backdrop in the U.S. during 4Q15. Despite recent volatility, we continue to believe the margin opportunity in the Calvin Klein business is underappreciated. In addition, we expect the company to acquire outstanding brand licenses, which should be accretive to earnings. Whiting Petroleum shares were buffeted by the dramatic decline in oil prices during the third quarter. We expect oil prices to improve gradually over the next year as the supply/demand imbalance improves. Similarly, low oil prices and an unanticipated capital raise that was subsequently canceled weighed on Weatherford International. The potential capital raise was an attempt to opportunistically acquire assets at depressed prices. Investors reacted negatively to the news and management canceled the offering. We believe activity levels are nearing a bottom and the company is well positioned to benefit from a gradual improvement in 2016.
Stock selection in materials and processing, financial services, and technology, as well as an overweight in consumer staples positively impacted performance in the second half of the calendar year. Alphabet Inc., Equinix Inc., and Visa Inc. were primary positive contributors for the last six months. Technology company Alphabet (formerly Google) continued to benefit from the leadership of its new CFO, Ruth Porat, who joined in May 2015. Porat has already showed signs of bringing much needed discipline in cost structure, capital allocation, and communication with investors. The company announced a new structure in which its non-core business costs would be clearly articulated beginning in its fourth quarter report. The fundamentals of networking company Equinix’s business continue to improve with strong customer demand and stable pricing. For the third consecutive quarter, Equinix raised its outlook for 2015 during the fourth quarter. The company’s acquisitions proceeded smoothly with the Bit-Isle and Telecity acquisitions receiving approval from European regulators in November. Payments technology company Visa announced on its second quarter earnings call that it was exploring the purchase of Visa Europe. The potential acquisition is a core part of our investment thesis as we expect this transaction to be meaningfully accretive to earnings.
CRM All Cap Value Fund returned -3.59% and -3.73% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -3.64% for the Russell 3000 Value Index6 and -1.43% for the Russell 3000 Index6. The main areas contributing to relatively flat performance versus the Russell 3000 Value Index were stock selection within financial services and utilities. Individual positions that contributed to performance included Alphabet, Inc., American Water Works Company, Inc., and Computer Sciences Corporation. Technology company Alphabet (formerly Google) continued to benefit from the leadership of its new CFO, Ruth Porat, who joined in May 2015. Porat has already showed signs of bringing much needed discipline in cost structure, capital allocation, and communication with investors. The company announced a new structure in which its non-core business costs would be clearly articulated beginning in its fourth quarter report, which
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should be a catalyst for shares. Water and wastewater utility holding company American Water Works delivered second quarter results that were better than expectations. The company closed four acquisitions in 2015 with several additional acquisitions pending. Computer Sciences Corporation, a global provider of information technology (IT) and professional services and solutions, successfully completed the spin-off of its government IT services business and announced plans to acquire two fast-growing overseas commercial IT services businesses. The company’s earnings growth should benefit from the improved mix of new business, continued cost takeouts, and stock buybacks.
Stock selection in consumer discretionary and energy weighed on performance during the second half of the calendar year. Top individual detractors from the Fund’s performance during the second half of the fiscal year included PVH Corporation, Continental Resources, Inc., and Verint Systems, Inc. Apparel company PVH Corporation’s better than expected 3Q15 earnings were overshadowed by increased foreign-exchange pressure and the progressively challenging retail backdrop in the U.S. during 4Q15. Despite recent volatility, we continue to believe the margin opportunity in the Calvin Klein business is underappreciated. In addition, we expect the company to acquire outstanding brand licenses, which should be accretive to earnings. In spite of strong operating performance in the second and third quarters, energy company Continental Resources’ share price has declined along with the price of oil. Verint Systems, Inc. is a provider of actionable intelligence solutions. The company’s revenue growth slowed modestly last quarter. Strength of the U.S. dollar, coupled with a weaker global economy, has caused some customers to delay spending. We believe that the delays are temporary and investors also continue to neglect the value of the company’s security business.
CRM International Opportunity Fund returned -0.99% and -1.08% for the Institutional and Investor Share classes, respectively, in the second half of the calendar year, as compared to -9.32% for the MSCI ACWI (ex-U.S.) Index7 and -6.01% for the MSCI EAFE Index7. Outperformance relative to the MSCI ACWI (ex-U.S.) was primarily due to stock selection within the financials, health care, industrials, and telecommunication services sectors. Global specialist risk insurance and reinsurance business Beazley, Plc, Denmark-based beverage company Royal Unibrew A/S, and Germany-based medical technology solutions supplier Carl Zeiss Meditec AG were top contributors for the second half of the fiscal year. Beazley’s performance was buoyed by the sharp pick-up in P&C sector consolidation activity throughout 2015. This served as a reminder for investors of the scarcity value of Beazley as a high return and specialist growth-oriented insurer. Royal Unibrew’s shares responded well to positive results reported in August. Carl Zeiss Meditec AG shares outperformed after positively preannouncing FY15 (Sep) sales and reporting EBIT well ahead of the company guidance and consensus, driven by double digit organic growth in the surgical ophthalmology division. We believe Carl Zeiss Meditec’s unique hydrophilic intraocular lens became increasingly popular in Europe for its ease of handling, minimal surgical incision size, and excellent biocompatibility, thus allowing the company to gain market share at the expense of Novartis-Alcon. The company continued to innovate and enjoyed strong uptake of its latest surgical microscope and biometer offerings, while its innovative ReLEx SMILE refractive correction lasers continued to displace traditional LASIK by enabling a minimally invasive flapless eye surgery.
Stock selection within the information technology sector was a slight detractor from performance for the period. The leading individual detractors to performance were Peruvian financial services companies Credicorp Ltd. and Intercorp Financial Services, Inc., as well as German gas and engineering company Linde AG. Shares of Credicorp came under heavy pressure in mid-August on fears the Peruvian market would be removed from MSCI Emerging Market Equity Index and relegated to being a Frontier equity market. On September 30th, MSCI announced that Peru would be given a “stay of execution” until the next index re-weighting in June 2016. Shares of Intercorp Financial Services were overcome by mounting country-related macro fears emanating
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from adverse El Nino effects and a weakening PEN currency. Linde AG issued downward guidance for 2017 EBITDA, implying a flat to slightly down 2016 that the company attributed to lower industrial production and more aggressive price cuts in the healthcare space.
Sincerely,
Ronald H. McGlynn
Chairman, Cramer Rosenthal McGlynn, LLC
President, CRM Mutual Fund Trust
1S&P 500 Index is an index of 500 stocks chosen for market size, liquidity and industry grouping, among other factors. The S&P 500 is designed to be a leading indicator of U.S. equities and is meant to reflect the risk/return characteristics of the large cap universe.
2Russell 2000 Value Index is the Fund’s benchmark. The Russell 2000 Value Index measures the performance of those companies in the Russell 2000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2000 Index is an unmanaged, capitalization weighted index of 2,000 small cap U.S. companies. It is not possible to invest directly in an index.
3Russell 2500 Value Index is the Fund’s benchmark. The Russell 2500 Value Index is an unmanaged index that measures the performance of those companies in the Russell 2500 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 2500 Index is an unmanaged index that measures the performance of the 2,500 smallest companies in the Russell 3000 Index. It is not possible to invest directly in an index.
4Russell Midcap Value Index is the Fund’s benchmark. The Russell Midcap Value Index measures the performance of those companies in the Russell Midcap Index with lower price-to-book ratios and lower forecasted growth values. The Russell Midcap Index measures the performance of the 800 smallest companies in the Russell 1000 Index, which represents the performance of the 1,000 largest companies in the U.S. equity market. It is not possible to invest directly in an index.
5Russell 1000 Value Index is the Fund’s benchmark. The Russell 1000 Value Index is an unmanaged index that measures the performance of those companies in the Russell 1000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 1000 Index is an unmanaged index that measures the performance of the 1,000 largest companies in the Russell 3000 Index. The Russell 3000 Index measures the performance of the 3,000 largest U.S. companies based on total market capitalization. It is not possible to invest directly in an index.
6Russell 3000 Value Index is the Fund’s benchmark. The Russell 3000 Value Index measures the performance of those companies in the Russell 3000 Index with lower price-to-book ratios and lower forecasted growth values. The Russell 3000 Index is an unmanaged, capitalization weighted index of the 3,000 largest U.S. companies which represent approximately 98% of the investable U.S. equity market. It is not possible to invest directly in an index.
7MSCI ACWI Index (ex U.S.) is the Fund’s benchmark. MSCI ACWI Index (ex U.S.) is a free float-adjusted market capitalization weighted index that is designed to measure the equity market performance of developed and emerging markets. The MSCI ACWI (ex U.S.) consists of 45 country indices comprising 22 developed and 23 emerging market country indices. The developed market country indices included are: Australia, Austria, Belgium, Canada, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom. The emerging market country indices included are: Brazil, Chile, China, Colombia, Czech Republic, Egypt, Greece, Hungary, India, Indonesia, Korea, Malaysia, Mexico, Peru, Philippines, Poland, Qatar, Russia, South Africa, Taiwan, Thailand, Turkey and United Arab Emirates (as of June 30, 2015). The MSCI EAFE Index (Europe, Australasia, Far East) is a free float-adjusted market capitalization index that is designed to measure the equity market performance of developed markets, excluding the US & Canada. The MSCI EAFE Index consists of the following 21 developed market country indices: Australia, Austria, Belgium, Denmark, Finland, France, Germany, Hong Kong, Ireland, Israel, Italy, Japan, the Netherlands, New Zealand, Norway, Portugal, Singapore, Spain, Sweden, Switzerland, and the United Kingdom (as of June 30, 2015). It is not possible to invest directly in an index.
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Performance quoted represents past performance and does not guarantee future results. Investment return and principal value will fluctuate. Shares, when redeemed, may be worth more or less than their original cost. Current performance may be lower or higher than that shown here. Performance data current to the most recent month-end is available by calling (800) CRM-2883. The Funds are professionally managed, while the indices are unmanaged and are not available for investment. During the period, certain fees and expenses were waived by the Funds’ service providers. Without these waivers, total returns would have been lower. Additional performance figures for the Funds can be found in the Comparison of Change in Value section of this report.
Investments in small and mid capitalization companies generally are more volatile due to limited product lines, fewer capital resources and less depth of management than larger companies. Value-based investments are subject to the risk that the broad market may not recognize their intrinsic values. Investments in foreign securities, including emerging markets, involve special risks such as greater social, economic, regulatory, and political uncertainties, and currency fluctuation.
This report must be preceded or accompanied by the current prospectus for the Funds. Before investing, you should carefully read the prospectus and consider the investment objectives, risks, charges and expenses of the Funds. Additional copies of the prospectus may be obtained at www.crmfunds.com or at 800-CRM-2883.
Distributed by ALPS Distributors, Inc.
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CRM FUNDS
EXPENSE DISCLOSURE (Unaudited)
DISCLOSURE OF FUND EXPENSES
The following Expense Tables are shown so that you can understand the impact of fees on your investment. All mutual funds have operating expenses. As a shareholder of a Fund, you incur ongoing costs, including management fees, shareholder servicing fees and other Fund expenses. A Fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in a Fund and to compare these costs with the ongoing costs of investing in other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The Expense Tables below illustrate your Fund’s expenses in two ways.
• | Actual fund return. The first line of the table below provides information about actual account values and actual expenses. You may use the information in this line, together with the amount you invested, to estimate the expenses that you paid over the period. Simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number in the first line under the heading entitled “Expenses Paid During Period” to estimate the expenses you paid on your account during the period. |
• | Hypothetical 5% return. The second line of the table below provides information about hypothetical account values and hypothetical expenses based on the Fund’s actual expense ratio and an assumed rate of return of 5% per year before expenses, which is not the Fund’s actual return. The hypothetical account values and expenses may not be used to estimate the actual ending account balance or expenses you paid for the period. You may use this information to compare the ongoing cost of investing in the Fund and other funds. To do so, compare this 5% hypothetical example with the 5% hypothetical examples that appear in the shareholder reports of the other funds. |
Please note that the expenses shown in the tables are meant to highlight your ongoing costs only and do not reflect any transactional costs that may be levied by other funds, such as sales charges (loads), redemption fees, or exchange fees, if any. Therefore, the second line of the table is useful in comparing ongoing costs only, and will not help you determine the relative total cost of owning different funds. In addition, if these transactional costs were included, your costs would have been higher. The “Annualized Expense Ratio” reflects the actual expenses for the period indicated.
CRM Funds | ||||
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CRM FUNDS
EXPENSE DISCLOSURE (Unaudited) (Continued)
For the Six Months Ended December 31, 2015
Expense Table
Fund/Class | Beginning Account Value 07/01/15 | Ending Account Value 12/31/15 | Annualized Expense Ratio | Expenses Paid During Period1 | ||||||||||
CRM Small Cap Value Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 936.20 | 1.11% | $5.40 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.56 | 1.11% | $5.63 | ||||||||
CRM Small Cap Value Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 937.00 | 0.88% | $4.28 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.71 | 0.88% | $4.47 | ||||||||
CRM Small/Mid Cap Value Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 881.50 | 1.10% | $5.20 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.61 | 1.10% | $5.58 | ||||||||
CRM Small/Mid Cap Value Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 881.70 | 0.89% | $4.21 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.66 | 0.89% | $4.52 | ||||||||
CRM Mid Cap Value Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 931.40 | 1.12% | $5.44 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.51 | 1.12% | $5.69 | ||||||||
CRM Mid Cap Value Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 932.30 | 0.93% | $4.52 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.46 | 0.93% | $4.72 | ||||||||
CRM Large Cap Opportunity Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 947.30 | 1.15% | $5.63 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,019.36 | 1.15% | $5.84 | ||||||||
CRM Large Cap Opportunity Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 949.00 | 0.90% | $4.41 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,020.61 | 0.90% | $4.57 | ||||||||
CRM All Cap Value Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 962.70 | 1.50% | $7.40 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.60 | 1.50% | $7.61 | ||||||||
CRM All Cap Value Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 964.10 | 1.25% | $6.17 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.85 | 1.25% | $6.34 |
CRM Funds | ||||
10 |
CRM FUNDS
EXPENSE DISCLOSURE (Unaudited) (Concluded)
Fund/Class | Beginning Account Value 07/01/15 | Ending Account Value 12/31/15 | Annualized Expense Ratio | Expenses Paid During Period1 | ||||||||||
CRM International Opportunity Fund - Investor Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 989.20 | 1.50% | $7.50 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,017.60 | 1.50% | $7.61 | ||||||||
CRM International Opportunity Fund - Institutional Shares | ||||||||||||||
Actual Fund Return | $ | 1,000.00 | $ | 990.10 | 1.25% | $6.25 | ||||||||
Hypothetical (5% Return Before Expenses) | $ | 1,000.00 | $ | 1,018.85 | 1.25% | $6.34 |
1 | Expenses are equal to the Fund’s annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent fiscal half-year (184), then divided by 366. |
CRM Funds | ||||
11 |
CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited)
PORTFOLIO HOLDINGS
December 31, 2015
The following tables present a summary of the portfolio holdings of each of the CRM Funds as a percentage of their total investments, excluding short-term investments held as collateral for loaned securities.
CRM Small Cap Value Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 34.3 | % | ||
Industrials | 20.7 | |||
Consumer Discretionary | 12.6 | |||
Utilities | 7.6 | |||
Health Care | 7.6 | |||
Information Technology | 6.9 | |||
Materials | 3.5 | |||
Energy | 2.9 | |||
Short-Term Investments | 3.9 | |||
100.0 | % | |||
CRM Small/Mid Cap Value Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 25.2 | % | ||
Information Technology | 16.1 | |||
Consumer Discretionary | 15.2 | |||
Industrials | 11.1 | |||
Health Care | 9.1 | |||
Utilities | 7.0 | |||
Materials | 5.8 | |||
Energy | 4.9 | |||
Consumer Staples | 1.5 | |||
Short-Term Investments | 4.1 | |||
100.0 | % | |||
CRM Mid Cap Value Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 25.9 | % | ||
Industrials | 15.7 | |||
Consumer Discretionary | 12.8 | |||
Information Technology | 11.6 | |||
Utilities | 7.2 | |||
Health Care | 6.4 | |||
Energy | 5.7 | |||
Consumer Staples | 4.6 | |||
Materials | 4.0 | |||
Short-Term Investments | 6.1 | |||
100.0 | % | |||
CRM Large Cap Opportunity Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 26.4 | % | ||
Consumer Discretionary | 14.2 | |||
Information Technology | 11.9 | |||
Consumer Staples | 11.4 | |||
Health Care | 10.3 | |||
Industrials | 8.5 | |||
Energy | 7.2 | |||
Materials | 5.0 | |||
Utilities | 3.5 | |||
Short-Term Investments | 1.6 | |||
100.0 | % | |||
CRM Funds | ||||
12 |
CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Continued)
CRM All Cap Value Fund - Sector Allocation | ||||
Common Stock | ||||
Financials | 21.8 | % | ||
Information Technology | 18.1 | |||
Industrials | 12.9 | |||
Health Care | 12.1 | |||
Consumer Discretionary | 8.6 | |||
Utilities | 7.1 | |||
Energy | 6.7 | |||
Consumer Staples | 6.4 | |||
Materials | 2.9 | |||
Short-Term Investments | 3.4 | |||
100.0 | % | |||
CRM International Opportunity Fund - SectorAllocation | ||||
Common Stock | ||||
Financials | 29.0 | % | ||
Consumer Discretionary | 25.0 | |||
Consumer Staples | 13.9 | |||
Information Technology | 8.2 | |||
Industrials | 6.7 | |||
Health Care | 5.9 | |||
Telecommunication Services | 4.3 | |||
Materials | 2.2 | |||
Short-Term Investments | 4.8 | |||
100.0 | % | |||
CRM Funds | ||||
13 |
CRM FUNDS
DISCLOSURE OF PORTFOLIO HOLDINGS (Unaudited) (Concluded)
CRM International Opportunity Fund - Country Allocation | ||||
Common Stock | ||||
Japan | 14.7 | % | ||
United Kingdom | 13.1 | |||
Germany | 7.5 | |||
Philippines | 5.7 | |||
Chile | 4.3 | |||
Ireland | 4.1 | |||
Peru | 4.0 | |||
Luxembourg | 4.0 | |||
Switzerland | 3.6 | |||
Canada | 3.4 | |||
Denmark | 3.3 | |||
Sweden | 2.6 | |||
Netherlands | 2.5 | |||
South Korea | 2.4 | |||
Finland | 2.1 |
Portfolio holdings are subject to change at any time.
CRM International Opportunity Fund - Country Allocation | ||||
Common Stock | ||||
Hong Kong | 2.0 | |||
Portugal | 1.8 | |||
Austria | 1.8 | |||
Turkey | 1.6 | |||
Mexico | 1.6 | |||
Spain | 1.4 | |||
Indonesia | 1.4 | |||
Faroe Islands | 1.4 | |||
Italy | 1.3 | |||
Thailand | 1.2 | |||
Norway | 1.2 | |||
France | 1.2 | |||
Short-Term Investments | 4.8 | |||
100.0 | % | |||
CRM Funds | ||||
14 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 96.7% |
| |||||
Consumer Discretionary — 12.7% |
| |||||
Consumer Durables & Apparel — 2.7% |
| |||||
121,406 | Brunswick Corp. | $ | 6,132,217 | |||
58,100 | Oxford Industries, Inc. | 3,707,942 | ||||
|
| |||||
9,840,159 | ||||||
|
| |||||
Hotels, Restaurants & Leisure — 4.9% | ||||||
357,255 | Krispy Kreme Doughnuts, Inc.1 | 5,383,833 | ||||
114,372 | Red Robin Gourmet Burgers, Inc.1 | 7,061,327 | ||||
378,330 | Regis Corp.1 | 5,353,370 | ||||
|
| |||||
17,798,530 | ||||||
|
| |||||
Media — 1.0% | ||||||
177,709 | New Media Investment Group, Inc. | 3,458,217 | ||||
|
| |||||
Retailing — 4.1% | ||||||
141,071 | Children’s Place, Inc. (The) | 7,787,119 | ||||
355,417 | TravelCenters of America LLC1,2 | 3,340,920 | ||||
113,695 | Vitamin Shoppe, Inc.1 | 3,717,826 | ||||
|
| |||||
14,845,865 | ||||||
|
| |||||
Total Consumer Discretionary | 45,942,771 | |||||
|
| |||||
Energy — 2.9% | ||||||
244,891 | Bonanza Creek Energy, Inc.1,3 | 1,290,576 | ||||
992,853 | C&J Energy Services Ltd.1,3 | 4,725,980 | ||||
170,984 | Oil States International, Inc.1 | 4,659,314 | ||||
|
| |||||
Total Energy | 10,675,870 | |||||
|
| |||||
Financials — 34.5% | ||||||
Banks — 17.1% |
| |||||
339,815 | Associated Banc-Corp. | 6,371,531 | ||||
107,731 | Bank of Hawaii Corp.3 | 6,776,280 | ||||
300,239 | Central Pacific Financial Corp. | 6,611,263 | ||||
386,535 | First Horizon National Corp. | 5,612,488 | ||||
251,706 | First Midwest Bancorp, Inc. | 4,638,942 | ||||
215,448 | Great Western Bancorp, Inc. | 6,252,301 | ||||
253,229 | Hancock Holding Co. | 6,373,774 | ||||
312,964 | Investors Bancorp, Inc. | 3,893,272 | ||||
216,220 | MB Financial, Inc. | 6,999,041 | ||||
527,154 | Sterling Bancorp/DE | 8,550,438 | ||||
|
| |||||
62,079,330 | ||||||
|
| |||||
Diversified Financials — 5.8% | ||||||
192,872 | Moelis & Co. — Class A | 5,628,005 | ||||
500,545 | OM Asset Management PLC4 | 7,673,355 | ||||
185,818 | Stifel Financial Corp.1 | 7,871,250 | ||||
|
| |||||
21,172,610 | ||||||
|
| |||||
Insurance — 2.2% | ||||||
235,073 | James River Group Holdings Ltd.3 | 7,884,349 | ||||
|
| |||||
Real Estate — 9.4% | ||||||
137,345 | Education Realty Trust, Inc. | 5,202,629 | ||||
225,063 | GEO Group, Inc. (The) | 6,506,571 | ||||
334,699 | Kennedy-Wilson Holdings, Inc. | 8,059,552 |
Shares | Value | |||||
Financials — (continued) | ||||||
Real Estate — (continued) | ||||||
334,303 | Mack-Cali Realty Corp. | $ | 7,805,975 | |||
268,351 | Urban Edge Properties | 6,292,831 | ||||
|
| |||||
33,867,558 | ||||||
|
| |||||
Total Financials | 125,003,847 | |||||
|
| |||||
Health Care — 7.6% | ||||||
Health Care Equipment & Services — 6.4% | ||||||
234,928 | CONMED Corp. | 10,348,579 | ||||
214,381 | Premier, Inc. — Class A1 | 7,561,218 | ||||
72,971 | STERIS PLC4 | 5,497,635 | ||||
|
| |||||
23,407,432 | ||||||
|
| |||||
Pharmaceuticals & Biotechnology — 1.2% | ||||||
168,773 | Catalent, Inc.1 | 4,224,388 | ||||
|
| |||||
Total Health Care | 27,631,820 | |||||
|
| |||||
Industrials — 20.9% | ||||||
Capital Goods — 11.5% |
| |||||
146,568 | Barnes Group, Inc. | 5,187,042 | ||||
83,985 | Curtiss-Wright Corp. | 5,752,973 | ||||
83,329 | EnPro Industries, Inc. | 3,653,143 | ||||
79,968 | John Bean Technologies Corp. | 3,984,805 | ||||
945,160 | Mueller Water Products, Inc. — Class A | 8,128,376 | ||||
157,713 | NN, Inc. | 2,513,945 | ||||
90,703 | RBC Bearings, Inc.1 | 5,858,507 | ||||
78,229 | Standex International Corp. | 6,504,741 | ||||
|
| |||||
41,583,532 | ||||||
|
| |||||
Commercial Services & Supplies — 9.4% | ||||||
273,106 | FTI Consulting, Inc.1 | 9,465,854 | ||||
302,872 | Kforce, Inc. | 7,656,604 | ||||
171,022 | Korn/Ferry International | 5,674,510 | ||||
197,278 | Mobile Mini, Inc. | 6,141,264 | ||||
338,512 | Steelcase, Inc. — Class A | 5,043,829 | ||||
|
| |||||
33,982,061 | ||||||
|
| |||||
Total Industrials | 75,565,593 | |||||
|
| |||||
Information Technology — 6.9% | ||||||
Semiconductors & Semiconductor Components — 2.4% |
| |||||
98,600 | M/A-COM Technology Solutions Holdings, Inc.1,3 | 4,031,754 | ||||
134,022 | MKS Instruments, Inc. | 4,824,792 | ||||
|
| |||||
8,856,546 | ||||||
|
| |||||
Software & Services — 2.7% | ||||||
368,397 | Amber Road, Inc.1,3 | 1,875,140 | ||||
55,500 | Blackbaud, Inc. | 3,655,230 | ||||
699,339 | Brightcove, Inc.1 | 4,335,902 | ||||
|
| |||||
9,866,272 | ||||||
|
|
See accompanying notes. | CRM Funds | |||
15 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Information Technology — (continued) | ||||||
Technology Hardware & Equipment — 1.8% | ||||||
307,701 | Ciena Corp.1 | $ | 6,366,334 | |||
|
| |||||
Total Information Technology | 25,089,152 | |||||
|
| |||||
Materials — 3.5% | ||||||
514,567 | Ferro Corp.1 | 5,721,985 | ||||
421,330 | Headwaters, Inc.1 | 7,107,837 | ||||
|
| |||||
Total Materials | 12,829,822 | |||||
|
| |||||
Utilities — 7.7% | ||||||
182,500 | Black Hills Corp.3 | 8,473,475 | ||||
125,833 | Laclede Group, Inc. (The) | 7,475,739 | ||||
122,947 | NorthWestern Corp. | 6,669,875 | ||||
92,877 | Southwest Gas Corp. | 5,123,095 | ||||
|
| |||||
Total Utilities | 27,742,184 | |||||
|
| |||||
Total Common Stock | 350,481,059 | |||||
|
| |||||
Short-Term Investments — 4.0% | ||||||
7,329,324 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.12%5 | 7,329,324 | ||||
7,023,556 | Blackrock Liquidity Funds TempFund Portfolio — Institutional Series, 0.03%5 | 7,023,556 | ||||
|
| |||||
Total Short-Term Investments | 14,352,880 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 100.7% | 364,833,939 | |||||
|
| |||||
Value | ||||||
Short-Term Investments Held As Collateral For Loaned Securities — 3.9% |
| |||||
Money Market Funds — 0.3% | ||||||
389,000 | Blackrock Liquidity Funds Prime Portfolio, 0.36%5 | 389,000 | ||||
329,000 | Invesco STIT-Liquidity Fund, 0.34%5 | 329,000 | ||||
329,000 | Morgan Stanley Institutional Liquidity Fund, 0.38%5 | 329,000 | ||||
|
| |||||
Total Money Market Funds | 1,047,000 | |||||
|
|
Value | ||||||
Repurchase Agreements — 3.6% | ||||||
3,343,473 | With Citigroup Global Markets, Inc.: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $3,343,590 (collateralized by U.S. Treasury Securities, par values ranging from $499,944 - $1,194,248, coupon rates ranging from 0.194% - 3.375%, 01/31/17 - 04/30/22; total market value $3,410,342) | 3,343,473 | ||||
3,343,473 | With HSBC Securities: at 0.27%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $3,343,572 (collateralized by U.S. Treasury Securities, par values ranging from $6 - $539,669, 0% coupon rates, 02/15/16 - 08/15/40; total market value $3,410,346) | 3,343,473 | ||||
3,000,235 | With JP Morgan Securities: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $3,000,340 (collateralized by U.S. Treasury Securities, par values ranging from $3,100 - $1,951,186, coupon rates ranging from 0% - 2.00%, 04/28/16 - 02/15/25; total market value $3,060,271) | 3,000,235 | ||||
3,343,473 | With Royal Bank of Scotland PLC: at 0.30%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $3,343,583 (collateralized by U.S. Treasury Securities, par values ranging from $398,640 - $1,739,720, coupon rates ranging from 0.074% - 3.25%, 07/31/16 - 11/15/23; total market value $3,410,359)4 | 3,343,473 | ||||
|
| |||||
Total Repurchase Agreements | 13,030,654 | |||||
|
| |||||
Total Investments — 104.6% | 378,911,593 | 6 | ||||
Liabilities in Excess of Other Assets — 4.6%) | (16,573,423 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 362,338,170 | ||||
|
|
See accompanying notes. | CRM Funds | |||
16 |
CRM FUNDS
CRM SMALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2015 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Observable | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 350,481,059 | $ | 350,481,059 | — | — | ||||||||||||||
Short-Term Investments | 14,352,880 | 14,352,880 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 14,077,654 | 1,047,000 | $ | 13,030,654 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 378,911,593 | $ | 365,880,939 | $ | 13,030,654 | — | |||||||||||||
|
|
|
|
|
|
|
|
1 | Non-income producing security. |
2 | LLC — Limited Liability Company. |
3 | Security partially or fully on loan. |
4 | PLC — Public Limited Company. |
5 | Rate represents an annualized yield at date of measurement. |
6 | At December 31, 2015, the market value of securities on loan for the CRM Small Cap Value Fund was $13,559,395. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
17 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 96.4% |
| |||||
Consumer Discretionary — 15.3% | ||||||
Automobiles & Components — 4.6% |
| |||||
176,251 | Visteon Corp.1 | $ | 20,180,739 | |||
76,150 | WABCO Holdings, Inc.1 | 7,787,099 | ||||
|
| |||||
27,967,838 | ||||||
|
| |||||
Consumer Durables & Apparel — 5.8% |
| |||||
326,067 | Leggett & Platt, Inc. | 13,701,335 | ||||
122,158 | PVH Corp. | 8,996,937 | ||||
411,279 | Steve Madden Ltd.1 | 12,428,851 | ||||
|
| |||||
35,127,123 | ||||||
|
| |||||
Hotels, Restaurants & Leisure — 2.6% |
| |||||
576,342 | Bloomin’ Brands, Inc. | 9,734,417 | ||||
171,342 | Restaurant Brands International, Inc.2 | 6,401,337 | ||||
|
| |||||
16,135,754 | ||||||
|
| |||||
Retailing — 2.3% |
| |||||
110,700 | CST Brands, Inc. | 4,332,798 | ||||
308,475 | GNC Holdings, Inc., -Class A | 9,568,895 | ||||
|
| |||||
13,901,693 | ||||||
|
| |||||
Total Consumer Discretionary | 93,132,408 | |||||
|
| |||||
Consumer Staples — 1.5% |
| |||||
114,861 | TreeHouse Foods, Inc.1 | 9,011,994 | ||||
|
| |||||
Energy — 4.9% |
| |||||
331,987 | Delek US Holdings, Inc. | 8,166,880 | ||||
320,421 | Energen Corp. | 13,134,057 | ||||
321,376 | Oil States International, Inc.1 | 8,757,496 | ||||
|
| |||||
Total Energy | 30,058,433 | |||||
|
| |||||
Financials — 25.4% |
| |||||
Banks — 10.5% |
| |||||
567,440 | Associated Banc-Corp. | 10,639,500 | ||||
551,370 | First Horizon National Corp. | 8,005,893 | ||||
428,754 | Hancock Holding Co. | 10,791,738 | ||||
985,122 | KeyCorp. | 12,993,759 | ||||
382,753 | Synovus Financial Corp.2 | 12,393,542 | ||||
591,686 | Umpqua Holdings Corp. | 9,407,807 | ||||
|
| |||||
64,232,239 | ||||||
|
| |||||
Diversified Financials — 4.2% |
| |||||
435,080 | E*TRADE Financial Corp.1 | 12,895,771 | ||||
298,599 | Stifel Financial Corp.1 | 12,648,654 | ||||
|
| |||||
25,544,425 | ||||||
|
| |||||
Insurance — 3.5% |
| |||||
127,692 | American Financial Group, Inc. | 9,204,039 | ||||
225,086 | WR Berkley Corp. | 12,323,459 | ||||
|
| |||||
21,527,498 | ||||||
|
| |||||
Real Estate — 7.2% |
| |||||
305,908 | Douglas, Emmett Inc. | 9,538,211 | ||||
330,967 | GEO Group, Inc. (The) | 9,568,256 | ||||
491,889 | Outfront Media, Inc. | 10,737,937 |
Shares | Value | |||||
Financials — (continued) |
| |||||
Real Estate — (continued) |
| |||||
587,280 | Urban Edge Properties | $ | 13,771,716 | |||
|
| |||||
43,616,120 | ||||||
|
| |||||
Total Financials | 154,920,282 | |||||
|
| |||||
Health Care — 9.1% |
| |||||
Health Care Equipment & Services — 4.7% |
| |||||
203,126 | Alere, Inc.1 | 7,940,195 | ||||
88,964 | Cooper Companies, Inc. (The) | 11,938,969 | ||||
123,076 | STERIS PLC2,3 | 9,272,546 | ||||
|
| |||||
29,151,710 | ||||||
|
| |||||
Pharmaceuticals & Biotechnology — 4.4% |
| |||||
122,941 | Bio-Techne Corp. | 11,064,690 | ||||
566,308 | QIAGEN NV1 | 15,658,416 | ||||
|
| |||||
26,723,106 | ||||||
|
| |||||
Total Health Care | 55,874,816 | |||||
|
| |||||
Industrials — 11.2% |
| |||||
Capital Goods — 10.2% |
| |||||
138,869 | Allegion PLC3 | 9,154,245 | ||||
137,167 | Carlisle Cos, Inc. | 12,165,341 | ||||
331,450 | ITT Corp. | 12,038,264 | ||||
72,664 | Snap-on, Inc. | 12,456,790 | ||||
271,135 | SPX FLOW, Inc.1 | 7,567,378 | ||||
308,458 | Timken Co. (The) | 8,818,814 | ||||
|
| |||||
62,200,832 | ||||||
|
| |||||
Transportation — 1.0% |
| |||||
115,442 | Kirby Corp.1 | 6,074,558 | ||||
|
| |||||
Total Industrials | 68,275,390 | |||||
|
| |||||
Information Technology — 16.2% |
| |||||
Software & Services — 14.5% |
| |||||
235,546 | Broadridge Financial Solutions, Inc. | 12,655,887 | ||||
297,264 | Computer Sciences Corp. | 9,714,587 | ||||
527,075 | CSRA Inc. | 15,812,250 | ||||
88,935 | Dun & Bradstreet Corp. (The) | 9,243,014 | ||||
600,790 | Nuance Communications, Inc.1 | 11,949,713 | ||||
371,022 | PTC, Inc.1 | 12,848,492 | ||||
179,647 | Vantiv, Inc.1 | 8,518,861 | ||||
202,278 | Verint Systems, Inc.1 | 8,204,396 | ||||
|
| |||||
88,947,200 | ||||||
|
| |||||
Technology Hardware & Equipment — 1.7% |
| |||||
214,781 | Belden, Inc. | 10,240,758 | ||||
|
| |||||
Total Information Technology | 99,187,958 | |||||
|
| |||||
Materials — 5.8% |
| |||||
502,188 | Axiall Corp. | 7,733,695 | ||||
133,820 | Eagle Materials, Inc. | 8,086,743 | ||||
263,790 | RPM International, Inc. | 11,622,587 | ||||
80,688 | W.R. Grace & Co.1 | 8,035,718 | ||||
|
| |||||
Total Materials | 35,478,743 | |||||
|
|
See accompanying notes. | CRM Funds | |||
18 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Utilities — 7.0% |
| |||||
248,891 | American Water Works Co., Inc. | $ | 14,871,237 | |||
439,053 | Avangrid, Inc.1 | 16,859,635 | ||||
562,377 | NiSource, Inc. | 10,971,976 | ||||
|
| |||||
Total Utilities | 42,702,848 | |||||
|
| |||||
Total Common Stock | 588,642,872 | |||||
|
| |||||
Short-Term Investments — 4.1% |
| |||||
9,945,044 | Blackrock Liquidity Funds | |||||
TempCash Portfolio — Institutional | ||||||
Series, 0.12%4 | 9,945,044 | |||||
15,413,204 | Blackrock Liquidity Funds | |||||
TempFund Portfolio — Institutional | ||||||
Series, 0.03%4 | 15,413,204 | |||||
|
| |||||
Total Short-Term Investments | 25,358,248 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 100.5% | 614,001,120 | |||||
|
| |||||
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned Securities — 1.5% |
| |||||
Repurchase Agreements — 1.5% | ||||||
$2,109,604 | With Citigroup Global Markets, Inc.: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $2,109,679 (collateralized by US Treasury Securities, par values ranging from $315,446 - $753,525, coupon rates ranging from 0.19% to 3.38%, 01/31/17 - 04/30/22; total market value $2,151,796) | $ | 2,109,604 | |||
2,109,604 | With HSBC Securities USA, Inc.: at 0.27%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $2,109,667 (collateralized by US Treasury Securities, par values ranging from $0,004 - $340,511, coupon rates ranging from 0.00% to 9.25%, 02/15/16 - 08/15/40; total market value $2,151,798) | 2,109,604 |
Principal | Value | |||||
Repurchase Agreements — (continued) | ||||||
$ 444,050 | With JP Morgan Securities LLC: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $444,066 (collateralized by US Treasury Securities, par values ranging from $0,459 - $288,785, coupon rates ranging from 0.00% to 2.00%, 04/28/16 - 02/15/25; total market value $452,936) | $ | 444,050 | |||
2,109,604 | With Merrill Lynch Pierce Fenner & Smith, Inc.: at 0.29%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $2,109,672 (collateralized by US Treasury Securities, par values ranging from $710,947 - $1,428,196, coupon rates ranging from 1.38% to 1.75%, 10/31/18 - 08/31/20; total market value $2,151,796) | 2,109,604 | ||||
2,109,604 | With Royal Bank of Scotland PLC: at 0.30%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $2,109,674 (collateralized by US Treasury Securities, par values ranging from $251,527 - $1,097,697, coupon rates ranging from 0.07% to 3.25%, 07/31/16 - 11/15/23; total market value $2,151,807)3 | 2,109,604 | ||||
|
| |||||
Total Repurchase Agreements | 8,882,466 | |||||
|
| |||||
Total Short-Term Investments Held As | 8,882,466 | |||||
|
| |||||
Total Investments — 102.0% | 622,883,586 | 5 | ||||
Liabilities in Excess of Other Assets — (2.0%) | (12,242,417 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 610,641,169 | ||||
|
|
See accompanying notes. | CRM Funds | |||
19 |
CRM FUNDS
CRM SMALL/MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2015, is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 588,642,872 | $ | 588,642,872 | — | — | ||||||||||||||
Short-Term Investments | 25,358,248 | 25,358,248 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 8,882,466 | — | $ | 8,882,466 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 622,883,586 | $ | 614,001,120 | $ | 8,882,466 | — | |||||||||||||
|
|
|
|
|
|
|
|
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2015, the market value of securities on loan for the CRM Small/Mid Cap Value Fund was $8,679,920. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
20 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 96.1% |
| |||||
Consumer Discretionary — 13.2% |
| |||||
Consumer Durables & Apparel — 5.6% |
| |||||
402,845 | Coach, Inc. | $ | 13,185,117 | |||
101,211 | Mohawk Industries, Inc.1 | 19,168,351 | ||||
186,910 | PVH Corp. | 13,765,921 | ||||
|
| |||||
46,119,389 | ||||||
|
| |||||
Consumer Services — 1.6% |
| |||||
604,900 | Houghton Mifflin Harcourt Co.1 | 13,174,722 | ||||
|
| |||||
Hotels, Restaurants & Leisure — 3.8% |
| |||||
489,845 | Aramark | 15,797,501 | ||||
896,914 | Bloomin’ Brands, Inc. | 15,148,878 | ||||
|
| |||||
30,946,379 | ||||||
|
| |||||
Retailing — 2.2% |
| |||||
572,487 | GNC Holdings, Inc., -Class A | 17,758,547 | ||||
|
| |||||
Total Consumer Discretionary | 107,999,037 | |||||
|
| |||||
Consumer Staples — 4.7% |
| |||||
426,970 | ConAgra Foods, Inc. | 18,001,055 | ||||
164,575 | J.M. Smucker Co. (The) | 20,298,681 | ||||
|
| |||||
Total Consumer Staples | 38,299,736 | |||||
|
| |||||
Energy — 5.8% |
| |||||
521,982 | Continental Resources, Inc.1,2 | 11,995,146 | ||||
394,850 | Energen Corp. | 16,184,902 | ||||
218,814 | EQT Corp. | 11,406,774 | ||||
751,300 | Weatherford International PLC1,3 | 6,303,407 | ||||
233,550 | Whiting Petroleum Corp.1 | 2,204,712 | ||||
|
| |||||
Total Energy | 48,094,941 | |||||
|
| |||||
Financials — 26.5% |
| |||||
Banks — 6.3% |
| |||||
1,093,235 | KeyCorp. | 14,419,770 | ||||
519,775 | SunTrust Banks, Inc. | 22,267,161 | ||||
549,300 | Zions Bancorporation | 14,995,890 | ||||
|
| |||||
51,682,821 | ||||||
|
| |||||
Diversified Financials — 10.7% |
| |||||
511,700 | E*TRADE Financial Corp.1 | 15,166,788 | ||||
509,150 | Invesco Ltd. | 17,046,342 | ||||
262,386 | NASDAQ OMX Group, Inc. (The) | 15,262,993 | ||||
336,408 | Northern Trust Corp. | 24,251,653 | ||||
432,424 | Voya Financial, Inc. | 15,960,770 | ||||
|
| |||||
87,688,546 | ||||||
|
| |||||
Insurance — 1.9% |
| |||||
465,499 | Unum Group | 15,496,462 | ||||
|
| |||||
Real Estate — 7.6% |
| |||||
201,450 | American Campus Communities, Inc. | 8,327,943 | ||||
94,965 | Boston Properties Inc. | 12,111,836 | ||||
59,484 | Equinix, Inc. | 17,987,962 |
Shares | Value | |||||
Financials — (continued) |
| |||||
Real Estate — (continued) |
| |||||
447,250 | Equity Commonwealth1 | $ | 12,402,242 | |||
530,611 | Outfront Media, Inc. | 11,583,238 | ||||
|
| |||||
62,413,221 | ||||||
|
| |||||
Total Financials | 217,281,050 | |||||
|
| |||||
Health Care — 6.5% | ||||||
Health Care Equipment & Services — 3.8% |
| |||||
107,590 | C.R. Bard, Inc. | 20,381,850 | ||||
139,921 | STERIS PLC3 | 10,541,648 | ||||
|
| |||||
30,923,498 | ||||||
|
| |||||
Pharmaceuticals & Biotechnology — 2.7% |
| |||||
469,856 | Zoetis, Inc. | 22,515,499 | ||||
|
| |||||
Total Health Care | 53,438,997 | |||||
|
| |||||
Industrials — 16.1% | ||||||
Capital Goods — 7.9% |
| |||||
192,700 | Allegion PLC3 | 12,702,784 | ||||
138,100 | Carlisle Cos, Inc. | 12,248,089 | ||||
142,033 | Hubbell, Inc. | 14,351,014 | ||||
342,050 | SPX FLOW, Inc.1 | 9,546,616 | ||||
442,701 | Xylem, Inc. | 16,158,586 | ||||
|
| |||||
65,007,089 | ||||||
|
| |||||
Commercial Services & Supplies — 5.9% |
| |||||
187,967 | IHS, Inc. — Class A1 | 22,260,932 | ||||
295,135 | TransUnion1 | 8,136,872 | ||||
558,831 | Tyco International PLC3 | 17,821,120 | ||||
|
| |||||
48,218,924 | ||||||
|
| |||||
Transportation — 2.3% |
| |||||
250,035 | Kansas City Southern | 18,670,114 | ||||
|
| |||||
Total Industrials | 131,896,127 | |||||
|
| |||||
Information Technology — 11.9% | ||||||
Semiconductors & Semiconductor Components — 1.5% |
| |||||
261,033 | Microchip Technology, Inc.4 | 12,148,476 | ||||
|
| |||||
Software & Services — 8.3% |
| |||||
615,778 | Computer Sciences Corp. | 20,123,625 | ||||
1,017,084 | CSRA Inc. | 30,512,520 | ||||
495,679 | PTC, Inc.1 | 17,165,364 | ||||
|
| |||||
67,801,509 | ||||||
|
| |||||
Technology Hardware & Equipment — 2.1% |
| |||||
335,798 | Amphenol Corp. — Class A | 17,538,729 | ||||
|
| |||||
Total Information Technology | 97,488,714 | |||||
|
| |||||
Materials — 4.1% | ||||||
667,832 | Axiall Corp. | 10,284,613 | ||||
134,997 | Vulcan Materials Co. | 12,820,665 | ||||
104,820 | W.R. Grace & Co.1 | 10,439,024 | ||||
|
| |||||
Total Materials | 33,544,302 | |||||
|
| |||||
Utilities — 7.3% | ||||||
407,292 | American Water Works Co., Inc. | 24,335,698 |
See accompanying notes. | CRM Funds | |||
21 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Utilities — (continued) | ||||||
310,677 | Laclede Group, Inc. (The) | $ | 18,457,320 | |||
895,574 | NiSource, Inc. | 17,472,649 | ||||
|
| |||||
Total Utilities | 60,265,667 | |||||
|
| |||||
Total Common Stock | 788,308,571 | |||||
|
| |||||
Short-Term Investments — 6.3% | ||||||
25,719,424 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.12%5 | 25,719,424 | ||||
25,746,168 | Blackrock Liquidity Funds TempFund Portfolio — Institutional Series, 0.03%5 | 25,746,168 | ||||
|
| |||||
Total Short-Term Investments | 51,465,592 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 102.4% | $ | 839,774,163 | ||||
|
| |||||
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Money Market Funds — 0.2% | ||||||
$455,000 | Blackrock Liquidity Funds Prime Portfolio, 0.36%5 | $ | 455,000 | |||
644,000 | Invesco STIT-Liquidity Fund, 0.34%5 | 644,000 | ||||
455,000 | Morgan Stanley Institutional Liquidity Fund, 0.38%5 | 455,000 | ||||
|
| |||||
Total Money Market Funds | 1,554,000 | |||||
|
| |||||
Repurchase Agreements — 2.3% | ||||||
4,817,454 | With Citigroup Global Markets, Inc.: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $4,817,625 (collateralized by US Treasury Securities, par values ranging from $720,346 - $1,720,737, coupon rates ranging from 0.19% to 3.38%, 01/31/17 - 04/30/22; total market value $4,913,803) | 4,817,454 |
Principal | Value | |||||
Repurchase Agreements — (continued) | ||||||
$4,817,454 | With HSBC Securities USA, Inc.: at 0.27%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $4,817,599 (collateralized by US Treasury Securities, par values ranging from $8 - $777,584, coupon rates ranging from 0.00% to 9.25%, 02/15/16 - 08/15/40; total market value $4,913,808) | $ | 4,817,454 | |||
4,277,549 | With JP Morgan Securities LLC: at 0.32%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $4,277,701 (collateralized by US Treasury Securities, par values ranging from $4,420 - $2,781,880, coupon rates ranging from 0.00% to 2.00%, 04/28/16 - 02/15/25; total market value $4,363,145) | 4,277,549 | ||||
4,817,454 | With Royal Bank of Scotland PLC: at 0.30%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $4,817,615 (collateralized by US Treasury Securities, par values ranging from $574,382 - $2,506,682, coupon rates ranging from 0.07% to 3.25%, 07/31/16 - 11/15/23; total market value $4,913,827)3 | 4,817,454 | ||||
|
| |||||
Total Repurchase Agreements | 18,729,911 | |||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 20,283,911 | |||||
|
| |||||
Total Investments — 104.9% | 860,058,074 | 4 | ||||
Liabilities in Excess of Other Assets — (4.9%) | (40,389,981 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 819,668,093 | ||||
|
|
See accompanying notes. | CRM Funds | |||
22 |
CRM FUNDS
CRM MID CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2015 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 788,308,571 | $ | 788,308,571 | — | — | ||||||||||||||
Short-Term Investments | 51,465,592 | 51,465,592 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 20,283,911 | 1,554,000 | $ | 18,729,911 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 860,058,074 | $ | 841,328,163 | $ | 18,729,911 | — | |||||||||||||
|
|
|
|
|
|
|
|
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | At December 31, 2015, the market value of securities on loan for the CRM Mid Cap Value Fund was $19,842,817. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
5 | Rate represents an annualized yield at date of measurement. |
See accompanying notes. | CRM Funds | |||
23 |
CRM FUNDS
CRM LARGE CAP OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 98.3% |
| |||||
Consumer Discretionary — 14.2% |
| |||||
Consumer Durables & Apparel — 6.3% |
| |||||
25,700 | Coach, Inc. | $ | 841,161 | |||
7,180 | Mohawk Industries, Inc.1 | 1,359,820 | ||||
17,325 | PVH Corp. | 1,275,986 | ||||
|
| |||||
3,476,967 | ||||||
|
| |||||
Media — 2.6% |
| |||||
7,975 | Charter Communications, Inc. — Class A1 | 1,460,223 | ||||
|
| |||||
Retailing — 5.3% |
| |||||
19,925 | Dollar Tree, Inc.1 | 1,538,608 | ||||
18,169 | Lowe’s Cos., Inc. | 1,381,571 | ||||
|
| |||||
2,920,179 | ||||||
|
| |||||
Total Consumer Discretionary | 7,857,369 | |||||
|
| |||||
Consumer Staples — 11.4% | ||||||
Food & Drug Retailing — 1.5% |
| |||||
9,800 | Walgreens Boots Alliance, Inc. | 834,519 | ||||
|
| |||||
Food, Beverage & Tobacco — 6.8% |
| |||||
28,100 | Coca-Cola Co. (The) | 1,207,176 | ||||
30,650 | Mondelez International, Inc. — Class A | 1,374,346 | ||||
15,500 | Nestle SA, ADR | 1,153,510 | ||||
|
| |||||
3,735,032 | ||||||
|
| |||||
Household & Personal Products — 3.1% |
| |||||
21,850 | Procter & Gamble Co. (The) | 1,735,109 | ||||
|
| |||||
Total Consumer Staples | 6,304,660 | |||||
|
| |||||
Energy — 7.2% | ||||||
33,400 | Halliburton Co. | 1,136,936 | ||||
23,130 | Occidental Petroleum Corp. | 1,563,819 | ||||
117,450 | Weatherford International PLC1,2 | 985,406 | ||||
31,950 | Whiting Petroleum Corp.1 | 301,608 | ||||
|
| |||||
Total Energy | 3,987,769 | |||||
|
| |||||
Financials — 26.4% | ||||||
Banks — 8.7% | ||||||
98,262 | Bank of America Corp. | 1,653,750 | ||||
39,700 | SunTrust Banks, Inc. | 1,700,748 | ||||
26,750 | Wells Fargo & Co. | 1,454,130 | ||||
|
| |||||
4,808,628 | ||||||
|
| |||||
Diversified Financials — 11.5% | ||||||
30,050 | Morgan Stanley | 955,890 | ||||
22,800 | Northern Trust Corp. | 1,643,652 | ||||
84,419 | Synchrony Financial1 | 2,567,182 | ||||
32,200 | Voya Financial, Inc. | 1,188,502 | ||||
|
| |||||
6,355,226 | ||||||
|
| |||||
Insurance — 3.1% | ||||||
14,540 | Chubb Ltd. | 1,698,999 | ||||
|
|
Shares | Value | |||||
Financials — (continued) |
| |||||
Real Estate — 3.1% | ||||||
5,750 | Equinix, Inc. | $ | 1,738,800 | |||
|
| |||||
Total Financials | 14,601,653 | |||||
|
| |||||
Health Care — 10.2% |
| |||||
Health Care Equipment & Services — 3.2% |
| |||||
17,170 | Zimmer Biomet Holdings, Inc. | 1,761,470 | ||||
|
| |||||
Pharmaceuticals & Biotechnology — 7.0% |
| |||||
3,765 | Allergan PLC1,2 | 1,176,563 | ||||
35,400 | Pfizer, Inc. | 1,142,712 | ||||
33,350 | Zoetis, Inc. | 1,598,132 | ||||
|
| |||||
3,917,407 | ||||||
|
| |||||
Total Health Care | 5,678,877 | |||||
|
| |||||
Industrials — 8.5% |
| |||||
Capital Goods — 4.4% |
| |||||
13,853 | General Electric Co. | 431,521 | ||||
10,040 | Honeywell International, Inc. | 1,039,843 | ||||
9,400 | Rockwell Automation, Inc. | 964,534 | ||||
|
| |||||
2,435,898 | ||||||
|
| |||||
Commercial Services & Supplies — 1.7% |
| |||||
30,350 | Tyco International PLC2 | 967,861 | ||||
|
| |||||
Transportation — 2.4% | ||||||
6,000 | Norfolk Southern Corp. | 507,540 | ||||
10,150 | Union Pacific Corp. | 793,730 | ||||
|
| |||||
1,301,270 | ||||||
|
| |||||
Total Industrials | 4,705,029 | |||||
|
| |||||
Information Technology — 11.9% |
| |||||
Semiconductors & Semiconductor Components — 6.4% |
| |||||
35,700 | Broadcom Corp. — Class A | 2,064,174 | ||||
17,500 | NXP Semiconductors NV1 | 1,474,375 | ||||
|
| |||||
3,538,549 | ||||||
|
| |||||
Software & Services — 5.5% | ||||||
2,492 | Alphabet, Inc. — Class A1 | 1,938,801 | ||||
14,450 | Visa, Inc. — Class A | 1,120,597 | ||||
|
| |||||
3,059,398 | ||||||
|
| |||||
Total Information Technology | 6,597,947 | |||||
|
| |||||
Materials — 5.0% |
| |||||
12,350 | Air Products & Chemicals, Inc. | 1,606,858 | ||||
22,400 | Dow Chemical Co. (The) | 1,153,152 | ||||
|
| |||||
Total Materials | 2,760,010 | |||||
|
| |||||
Utilities — 3.5% |
| |||||
18,800 | NextEra Energy, Inc. | 1,953,132 | ||||
|
| |||||
Total Common Stock | 54,446,446 | |||||
|
|
See accompanying notes. | CRM Funds | |||
24 |
CRM FUNDS
CRM LARGE CAP OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Short-Term Investments — 1.6% | ||||||
441,290 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.12%3 | $ | 441,290 | |||
451,268 | Blackrock Liquidity Funds TempFund Portfolio — Institutional Series, 0.03%3 | 451,268 | ||||
|
| |||||
Total Short-Term Investments | 892,558 | |||||
|
| |||||
Total Investments — 99.9% | 55,339,004 | |||||
Other Assets in Excess of Liabilities — 0.1% | 70,658 | |||||
|
| |||||
Total Net Assets — 100.0% | $ | 55,409,662 | ||||
|
|
A summary of inputs used to value the Fund’s investments as of December 31, 2015 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||
Investments in Securities Common Stock | $ | 54,446,446 | $ | 54,446,446 | — | — | ||||||
Short-Term Investments | 892,558 | 892,558 | — | — | ||||||||
|
|
|
|
|
| |||||||
Total | $ | 55,339,004 | $ | 55,339,004 | — | — | ||||||
|
|
|
|
|
|
1 | Non-income producing security. |
2 | PLC — Public Limited Company. |
3 | Rate represents an annualized yield at date of measurement. |
See accompanying notes. | CRM Funds | |||
25 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 97.9% |
| |||||
Consumer Discretionary — 8.7% |
| |||||
Consumer Durables & Apparel — 3.5% |
| |||||
2,560 | Mohawk Industries, Inc.1 | $ | 484,838 | |||
4,850 | PVH Corp. | 357,203 | ||||
|
| |||||
842,041 | ||||||
|
| |||||
Consumer Services — 1.6% |
| |||||
17,900 | Houghton Mifflin Harcourt Co.1 | 389,862 | ||||
|
| |||||
Hotels, Restaurants & Leisure — 3.6% |
| |||||
14,700 | Aramark | 474,075 | ||||
6,600 | Red Robin Gourmet Burgers, Inc.1 | 407,484 | ||||
|
| |||||
881,559 | ||||||
|
| |||||
Total Consumer Discretionary | 2,113,462 | |||||
|
| |||||
Consumer Staples — 6.5% | ||||||
Food & Drug Retailing — 1.5% |
| |||||
4,250 | Walgreens Boots Alliance, Inc. | 361,909 | ||||
|
| |||||
Food, Beverage & Tobacco — 5.0% |
| |||||
14,075 | Coca-Cola Co. (The) | 604,662 | ||||
13,800 | Mondelez International, Inc. — Class A | 618,792 | ||||
|
| |||||
1,223,454 | ||||||
|
| |||||
Total Consumer Staples | 1,585,363 | |||||
|
| |||||
Energy — 6.8% | ||||||
18,150 | Continental Resources, Inc.1,2 | 417,087 | ||||
15,200 | Halliburton Co. | 517,408 | ||||
10,800 | Occidental Petroleum Corp. | 730,188 | ||||
|
| |||||
Total Energy | 1,664,683 | |||||
|
| |||||
Financials — 22.1% | ||||||
Banks — 8.0% |
| |||||
43,150 | Bank of America Corp. | 726,214 | ||||
17,100 | SunTrust Banks, Inc. | 732,564 | ||||
9,100 | Wells Fargo & Co. | 494,676 | ||||
|
| |||||
1,953,454 | ||||||
|
| |||||
Diversified Financials — 7.4% |
| |||||
10,950 | Morgan Stanley | 348,320 | ||||
9,800 | Northern Trust Corp. | 706,482 | ||||
24,150 | Synchrony Financial1 | 734,401 | ||||
|
| |||||
1,789,203 | ||||||
|
| |||||
Insurance — 2.4% |
| |||||
5,000 | Chubb Ltd. | 584,250 | ||||
|
|
Shares | Value | |||||
Financials — (continued) | ||||||
Real Estate — 4.3% |
| |||||
22,775 | Kennedy-Wilson Holdings, Inc. | $ | 548,422 | |||
21,800 | Mack-Cali Realty Corp. | 509,030 | ||||
|
| |||||
1,057,452 | ||||||
|
| |||||
Total Financials | 5,384,359 | |||||
|
| |||||
Health Care — 12.2% | ||||||
Health Care Equipment & Services — 5.2% |
| |||||
2,620 | C.R. Bard, Inc. | 496,333 | ||||
9,800 | CONMED Corp. | 431,690 | ||||
4,600 | STERIS PLC3 | 346,564 | ||||
|
| |||||
1,274,587 | ||||||
|
| |||||
Pharmaceuticals & Biotechnology — 7.0% |
| |||||
2,026 | Allergan PLC1 | 633,125 | ||||
18,100 | Pfizer, Inc. | 584,268 | ||||
10,188 | Zoetis, Inc. | 488,209 | ||||
|
| |||||
1,705,602 | ||||||
|
| |||||
Total Health Care | 2,980,189 | |||||
|
| |||||
Industrials — 13.1% | ||||||
Capital Goods — 8.3% |
| |||||
6,200 | Danaher Corp. | 575,856 | ||||
5,600 | Honeywell International, Inc. | 579,992 | ||||
10,225 | ITT Corp. | 371,372 | ||||
58,100 | Mueller Water Products, Inc. — Class A | 499,660 | ||||
|
| |||||
2,026,880 | ||||||
|
| |||||
Commercial Services & Supplies — 4.8% |
| |||||
4,670 | IHS, Inc.— Class A1 | 553,068 | ||||
18,900 | Tyco International PLC3 | 602,721 | ||||
|
| |||||
1,155,789 | ||||||
|
| |||||
Total Industrials | 3,182,669 | |||||
|
| |||||
Information Technology — 18.3% | ||||||
Semiconductors & Semiconductor Components — 3.1% |
| |||||
13,225 | Broadcom Corp. — Class A | 764,670 | ||||
|
| |||||
Software & Services — 15.2% |
| |||||
710 | Alphabet, Inc. — Class A1 | 552,387 | ||||
7,350 | Broadridge Financial Solutions, Inc. | 394,916 | ||||
17,050 | Computer Sciences Corp. | 557,194 | ||||
29,250 | CSRA Inc. | 877,500 | ||||
12,250 | PTC, Inc.1 | 424,217 | ||||
7,800 | Verint Systems, Inc.1 | 316,368 | ||||
7,500 | Visa, Inc. — Class A | 581,625 | ||||
|
| |||||
3,704,207 | ||||||
|
| |||||
Total Information Technology | 4,468,877 | |||||
|
|
See accompanying notes. | CRM Funds | |||
26 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Materials — 3.0% |
| |||||
5,600 | Air Products & Chemicals, Inc. | $ | 728,616 | |||
|
| |||||
Utilities — 7.2% |
| |||||
10,300 | American Water Works Co., Inc. | 615,425 | ||||
11,200 | Black Hills Corp. | 520,016 | ||||
5,850 | NextEra Energy, Inc. | 607,756 | ||||
|
| |||||
Total Utilities | 1,743,197 | |||||
|
| |||||
Total Common Stock | 23,851,415 | |||||
|
| |||||
Short-Term Investments — 3.5% | ||||||
428,062 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.12%4 | 428,062 | ||||
414,956 | Blackrock Liquidity Funds TempFund Portfolio — Institutional Series, 0.03%4 | 414,956 | ||||
|
| |||||
Total Short-Term Investments | 843,018 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 101.4% | $ | 24,694,433 | ||||
|
| |||||
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Repurchase Agreement — 0.7% | ||||||
$160,242 | With Nomura Securities Int’l., Inc.: at 0.31%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $160,248 (collateralized by US Treasury Securities, par values ranging from $9,786 - $84,086, coupon rates ranging from 0.00% to 0.88%, 02/15/16 - 05/15/27; total market value $163,447) | |||||
Total Repurchase Agreement | 160,242 | |||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 160,242 | |||||
|
| |||||
Total Investments — 102.1% | 24,854,675 | 5 | ||||
Liabilities in Excess of Other Assets — (2.1%) | (506,165 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 24,348,510 | ||||
|
|
See accompanying notes. | CRM Funds | |||
27 |
CRM FUNDS
CRM ALL CAP VALUE FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2015 is as follows (See Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Observable | Level 3 Unobservable Inputs | |||||||||||||||||
Investments in Securities | ||||||||||||||||||||
Common Stock | $ | 23,851,415 | $ | 23,851,415 | — | — | ||||||||||||||
Short-Term Investments | 843,018 | 843,018 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 160,242 | — | $ | 160,242 | — | |||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 24,854,675 | $ | 24,694,433 | $ | 160,242 | — | |||||||||||||
|
|
|
|
|
|
|
|
1 | Non-income producing security. |
2 | Security partially or fully on loan. |
3 | PLC — Public Limited Company. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2015, the market value of securities on loan for the CRM All Cap Value Fund was $154,971. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
28 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS
December 31, 2015 (Unaudited)
Shares | Value | |||||
Common Stock — 97.5% |
| |||||
Austria — 1.9% |
| |||||
9,625 | Zumtobel Group AG | $ | 242,472 | |||
|
| |||||
Total Austria | 242,472 | |||||
|
| |||||
Canada — 3.4% |
| |||||
2,250 | Canadian Tire Corp Ltd. | 192,137 | ||||
9,000 | Gildan Activewear, Inc. | 255,780 | ||||
|
| |||||
Total Canada | 447,917 | |||||
|
| |||||
Chile — 4.4% |
| |||||
27,671,625 | Corpbanca SA | 222,526 | ||||
138,385 | Parque Arauco SA | 218,136 | ||||
20,400 | Saci Falabella | 130,019 | ||||
|
| |||||
Total Chile | 570,681 | |||||
|
| |||||
Denmark — 3.4% |
| |||||
4,933 | Royal Unibrew A/S | 200,485 | ||||
7,350 | Sydbank | 236,008 | ||||
|
| |||||
Total Denmark | 436,493 | |||||
|
| |||||
Faroe Islands — 1.4% |
| |||||
6,200 | BAKKAFROST | 182,656 | ||||
|
| |||||
Total Faroe Islands | 182,656 | |||||
|
| |||||
Finland — 2.1% |
| |||||
3,800 | Elisa OYJ | 142,975 | ||||
2,650 | Sampo OYJ | 134,574 | ||||
|
| |||||
Total Finland | 277,549 | |||||
|
| |||||
France — 1.2% |
| |||||
1,360 | BioMerieux | 162,283 | ||||
|
| |||||
Total France | 162,283 | |||||
|
| |||||
Germany — 7.7% |
| |||||
6,400 | Carl Zeiss Meditec AG | 198,299 | ||||
9,150 | Deutsche Telekom AG | 164,341 | ||||
2,315 | Fresenius Medical Care AG & Co. KGAA | 194,541 | ||||
1,300 | Krones AG | 154,795 | ||||
2,000 | Linde AG | 288,918 | ||||
|
| |||||
Total Germany | 1,000,894 | |||||
|
| |||||
Hong Kong — 2.0% |
| |||||
206,000 | HKT Trust & HKT Ltd. | 263,147 | ||||
|
| |||||
Total Hong Kong | 263,147 | |||||
|
| |||||
Indonesia — 1.4% |
| |||||
225,500 | Bank Rakyat Indonesia | 185,068 | ||||
|
| |||||
Total Indonesia | 185,068 | |||||
|
| |||||
Ireland — 4.2% |
| |||||
45,325 | Beazley PLC1 | 260,247 | ||||
70,400 | C&C Group PLC1 | 283,554 | ||||
|
| |||||
Total Ireland | 543,801 | |||||
|
|
Shares | Value | |||||
Italy — 1.4% |
| |||||
22,508 | Societa Cattolica Di Assicurazioni SCRL | $ | 178,260 | |||
|
| |||||
Total Italy | 178,260 | |||||
|
| |||||
Japan — 15.0% |
| |||||
6,700 | Bridgestone Corp. | 229,820 | ||||
1,800 | Disco Corp. | 169,509 | ||||
19,000 | Hitachi Kokusai Electric, Inc. | 258,292 | ||||
64,000 | Hitachi, Ltd. | 362,648 | ||||
33,650 | Isuzu Motors Ltd. | 362,499 | ||||
4,600 | Kao Corp. | 236,388 | ||||
2,900 | Secom Co. Ltd. | 196,532 | ||||
4,200 | Sompo Japan Nipponkoa Holdings, Inc. | 137,906 | ||||
|
| |||||
Total Japan | 1,953,594 | |||||
|
| |||||
Luxembourg — 4.1% |
| |||||
4,000 | RTL Group SA | 334,361 | ||||
66,000 | Samsonite International SA | 197,801 | ||||
|
| |||||
Total Luxembourg | 532,162 | |||||
|
| |||||
Mexico — 1.6% |
| |||||
107,784 | Gentera SAB de CV | 207,319 | ||||
|
| |||||
Total Mexico | 207,319 | |||||
|
| |||||
Netherlands — 2.5% |
| |||||
19,424 | RELX NV | 327,146 | ||||
|
| |||||
Total Netherlands | 327,146 | |||||
|
| |||||
Norway — 1.3% |
| |||||
33,473 | Europris ASA2 | 162,607 | ||||
|
| |||||
Total Norway | 162,607 | |||||
|
| |||||
Peru — 4.2% |
| |||||
2,275 | Credicorp Ltd. | 221,403 | ||||
13,993 | Intercorp Financial Services, Inc. | 318,341 | ||||
|
| |||||
Total Peru | 539,744 | |||||
|
| |||||
Philippines — 5.8% |
| |||||
195,970 | Robinsons Retail Holdings, Inc. | 262,557 | ||||
106,750 | Security Bank Corp. | 321,172 | ||||
43,670 | Universal Robina Corp. | 172,323 | ||||
|
| |||||
Total Philippines | 756,052 | |||||
|
| |||||
Portugal — 1.9% |
| |||||
215,900 | Sonae SGPS SA | 245,371 | ||||
|
| |||||
Total Portugal | 245,371 | |||||
|
| |||||
South Korea — 2.5% |
| |||||
2,590 | Hyundai Motor Co. | 326,661 | ||||
|
| |||||
Total South Korea | 326,661 | |||||
|
| |||||
Spain — 1.4% |
| |||||
14,800 | Merlin Properties Socimi SA | 185,404 | ||||
|
| |||||
Total Spain | 185,404 | |||||
|
|
See accompanying notes. | CRM Funds | |||
29 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
Shares | Value | |||||
Sweden — 2.6% | ||||||
16,800 | Mekonomen AB3 | $ | 343,848 | |||
|
| |||||
Total Sweden | 343,848 | |||||
|
| |||||
Switzerland — 3.7% | ||||||
3,630 | Nestle SA | 269,474 | ||||
595 | Swatch Group AG (The)3 | 206,623 | ||||
|
| |||||
Total Switzerland | 476,097 | |||||
|
| |||||
Thailand — 1.3% | ||||||
39,400 | Kasikornbank PLC | 162,853 | ||||
|
| |||||
Total Thailand | 162,853 | |||||
|
| |||||
Turkey — 1.7% | ||||||
246,483 | Emlak Konut Gayrimenkul Yatirim Ortakligi AS | 219,428 | ||||
|
| |||||
Total Turkey | 219,428 | |||||
|
| |||||
United Kingdom — 13.4% | ||||||
10,995 | Bunzl PLC1 | 305,051 | ||||
33,160 | Direct Line Insurance Group PLC1 | 198,766 | ||||
64,875 | ITV PLC1 | 264,130 | ||||
15,269 | Kennedy Wilson Europe Real Estate PLC1 | 271,541 | ||||
12,900 | Smith & Nephew PLC1 | 229,906 | ||||
11,175 | Spectris PLC1 | 296,573 | ||||
12,075 | St James’s Place PLC1 | 178,973 | ||||
|
| |||||
Total United Kingdom | 1,744,940 | |||||
|
| |||||
Total Common Stock | 12,674,447 | |||||
|
| |||||
Short-Term Investments — 5.0% | ||||||
302,546 | Blackrock Liquidity Funds TempCash Portfolio — Institutional Series, 0.12%4 | 302,546 | ||||
341,218 | Blackrock Liquidity Funds TempFund Portfolio — Institutional Series, 0.03%4 | 341,218 | ||||
|
| |||||
Total Short-Term Investments | 643,764 | |||||
|
| |||||
Total Investments Before Short-Term Investments Held As Collateral For Loaned Securities — 102.5% | 13,318,211 | |||||
|
|
Principal | Value | |||||
Short-Term Investments Held As Collateral For Loaned |
| |||||
Repurchase Agreement — 3.9% | ||||||
$509,540 | With Nomura Securities Int’l., Inc.: at 0.31%, dated 12/31/15, to be repurchased on 01/04/16, repurchase price $509,558 (collateralized by US Treasury Securities, par values ranging from $31,118 - $267,378, coupon rates ranging from 0.00% to 0.88%, 02/15/16 - 05/15/27; total market value $519,731) | |||||
Total Repurchase Agreement | $ | 509,540 | ||||
|
| |||||
Total Short-Term Investments Held As Collateral For Loaned Securities | 509,540 | |||||
|
| |||||
Total Investments — 106.4% | 13,827,751 | 5 | ||||
Liabilities in Excess of Other Assets — (6.4%) | (831,097 | ) | ||||
|
| |||||
Total Net Assets — 100.0% | $ | 12,996,654 | ||||
|
|
See accompanying notes. | CRM Funds | |||
30 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Continued)
December 31, 2015 (Unaudited)
A summary of inputs used to value the Fund’s investments as of December 31, 2015 is as follows (see Note 2 in Notes to Financial Statements):
Investments in Securities (Value) | Level 1 Quoted Prices | Level 2 Significant Observable Inputs | Level 3 Significant Unobservable Inputs | |||||||||||||||||
Investments in Securities |
| |||||||||||||||||||
Common Stock | ||||||||||||||||||||
Austria | $ | 242,472 | — | $ | 242,472 | — | ||||||||||||||
Canada | 447,917 | $ | 447,917 | — | — | |||||||||||||||
Chile | 570,681 | 570,681 | — | — | ||||||||||||||||
Denmark | 436,493 | — | 436,493 | — | ||||||||||||||||
Faroe Islands | 182,656 | — | 182,656 | — | ||||||||||||||||
Finland | 277,549 | — | 277,549 | — | ||||||||||||||||
France | 162,283 | — | 162,283 | — | ||||||||||||||||
Germany | 1,000,894 | — | 1,000,894 | — | ||||||||||||||||
Hong Kong | 263,147 | 263,147 | — | — | ||||||||||||||||
Indonesia | 185,068 | — | 185,068 | — | ||||||||||||||||
Ireland | 543,801 | — | 543,801 | — | ||||||||||||||||
Italy | 178,260 | — | 178,260 | — | ||||||||||||||||
Japan | 1,953,594 | — | 1,953,594 | — | ||||||||||||||||
Luxembourg | 532,162 | — | 532,162 | — | ||||||||||||||||
Mexico | 207,319 | 207,319 | — | — | ||||||||||||||||
Netherlands | 327,146 | — | 327,146 | — | ||||||||||||||||
Norway | 162,607 | 162,607 | — | — | ||||||||||||||||
Peru | 539,744 | 539,744 | — | — | ||||||||||||||||
Philippines | 756,052 | — | 756,052 | — | ||||||||||||||||
Portugal | 245,371 | — | 245,371 | — | ||||||||||||||||
South Korea | 326,661 | — | 326,661 | — | ||||||||||||||||
Spain | 185,404 | — | 185,404 | — | ||||||||||||||||
Sweden | 343,848 | — | 343,848 | — | ||||||||||||||||
Switzerland | 476,097 | — | 476,097 | — | ||||||||||||||||
Thailand | 162,853 | — | 162,853 | — | ||||||||||||||||
Turkey | 219,428 | — | 219,428 | — | ||||||||||||||||
United Kingdom | 1,744,940 | — 1,744,940 | — | |||||||||||||||||
Short-Term Investments | 643,764 | 643,764 | — | — | ||||||||||||||||
Short-Term Investments Held as Collateral for Loaned Securities | 509,540 | — | 509,540 | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Total | $ | 13,827,751 | $ | 2,835,179 | $ | 10,992,572 | — | |||||||||||||
|
|
|
|
|
|
|
|
Certain foreign securities are fair valued by utilizing an external pricing service in the event of any significant market movements between the time the Fund valued such foreign securities and the earlier closing of foreign markets. Such fair valuations are categorized as Level 2 in the hierarchy. Significant market movements were deemed to have occurred at December 31, 2015 and therefore the Fund did utilize the external pricing service model adjustments. As a result, securities held at the beginning of the period that were still held by the Fund were transferred from Level 1 into Level 2 with a beginning of period value of $6,832,770.
See accompanying notes. | CRM Funds | |||
31 |
CRM FUNDS
CRM INTERNATIONAL OPPORTUNITY FUND
SCHEDULE OF INVESTMENTS (Concluded)
December 31, 2015 (Unaudited)
1 | PLC — Public Limited Company. |
2 | Non-income producing security. |
3 | Security partially or fully on loan. |
4 | Rate represents an annualized yield at date of measurement. |
5 | At December 31, 2015, the market value of securities on loan for the CRM International Opportunity Fund was $485,147. In the event that the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, the Fund’s securities lending agent, The Bank of New York Mellon, has agreed to pay the amount of the shortfall to the Fund, or at its discretion, replace the loaned securities. |
See accompanying notes. | CRM Funds | |||
32 |
CRM FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2015 (Unaudited)
CRM Small Cap Value Fund | CRM Small/Mid Cap Value Fund | CRM Mid Cap Value Fund | CRM Large Cap Opportunity Fund | |||||||||||||
ASSETS: | ||||||||||||||||
Investments | ||||||||||||||||
Investments, at cost | $ | 344,592,363 | $ | 604,247,203 | $ | 812,536,154 | $ | 53,872,181 | ||||||||
Net unrealized appreciation | 34,319,230 | 18,636,383 | 47,521,920 | 1,466,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investments, at value1 | 378,911,593 | 622,883,586 | 860,058,074 | 55,339,004 | ||||||||||||
Cash | 13,778 | 1,249,480 | 31,926,061 | — | ||||||||||||
Receivable for fund shares sold | 222,397 | 928,132 | 1,140,026 | 338 | ||||||||||||
Receivable for securities sold | — | 4,459,763 | 58,891,158 | 160,930 | ||||||||||||
Dividends and interest receivable | 277,785 | 707,722 | 969,733 | 68,822 | ||||||||||||
Other assets | 67,339 | 109,218 | 193,795 | 8,966 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total assets | 379,492,892 | 630,337,901 | 953,178,847 | 55,578,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
LIABILITIES: | ||||||||||||||||
Cash overdraft | — | — | — | 68,782 | ||||||||||||
Obligation to return securities lending collateral | 14,077,654 | 8,882,466 | 20,283,911 | — | ||||||||||||
Payable for fund shares redeemed | 185,638 | 3,070,817 | 80,325,719 | 26,935 | ||||||||||||
Payable for securities purchased | 2,541,270 | 7,128,804 | 31,926,063 | — | ||||||||||||
Accrued advisory fee | 236,093 | 454,042 | 591,241 | 29,986 | ||||||||||||
Audit and tax fees | 26,505 | 26,420 | 26,084 | 26,673 | ||||||||||||
Other accrued expenses | 87,562 | 134,183 | 357,736 | 16,022 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total liabilities | 17,154,722 | 19,696,732 | 133,510,754 | 168,398 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 362,338,170 | $ | 610,641,169 | $ | 819,668,093 | $ | 55,409,662 | ||||||||
|
|
|
|
|
|
|
| |||||||||
COMPONENTS OF NET ASSETS | ||||||||||||||||
Paid-in-capital | $ | 321,890,759 | $ | 597,374,259 | $ | 764,713,512 | $ | 54,960,288 | ||||||||
Undistributed (distributions in excess of)net investment income | 1,614,974 | 4,871,788 | 399,306 | (400 | ) | |||||||||||
Accumulated net realized gain (loss) on investments | 4,513,207 | (10,241,261 | ) | 7,033,355 | (1,017,049 | ) | ||||||||||
Net unrealized appreciation of investments | 34,319,230 | 18,636,383 | 47,521,920 | 1,466,823 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 362,338,170 | $ | 610,641,169 | $ | 819,668,093 | $ | 55,409,662 | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS BY SHARE CLASS | ||||||||||||||||
Investor Shares | $ | 60,701,765 | $ | 56,688,045 | $ | 351,550,471 | $ | 11,619,229 | ||||||||
Institutional Shares | 301,636,405 | 553,953,124 | 468,117,622 | 43,790,433 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET ASSETS | $ | 362,338,170 | $ | 610,641,169 | $ | 819,668,093 | $ | 55,409,662 | ||||||||
|
|
|
|
|
|
|
| |||||||||
SHARES OF BENEFICIAL INTEREST OUTSTANDING | ||||||||||||||||
($0.01 par value, unlimited authorized shares) Investor Shares | 4,001,740 | 4,675,022 | 18,406,476 | 1,411,233 | ||||||||||||
Institutional Shares | 17,760,195 | 44,945,745 | 23,773,340 | 5,313,104 | ||||||||||||
NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE) | ||||||||||||||||
Investor Shares | $ | 15.17 | $ | 12.13 | $ | 19.10 | $ | 8.23 | ||||||||
Institutional Shares | $ | 16.98 | $ | 12.32 | $ | 19.69 | $ | 8.24 | ||||||||
1 Includes securities loaned of: | $ | 13,559,395 | $ | 8,679,920 | $ | 19,842,817 | $ | — |
See accompanying notes. | CRM Funds | |||
33 |
CRM FUNDS
STATEMENTS OF ASSETS AND LIABILITIES
DECEMBER 31, 2015 (Unaudited)
CRM All Cap Value Fund | CRM International Opportunity Fund | |||||||
ASSETS: | ||||||||
Investments | ||||||||
Investments, at cost | $ | 22,832,637 | $ | 13,685,997 | ||||
Net unrealized appreciation | 2,022,038 | 141,754 | ||||||
|
|
|
| |||||
Total investments, at value1 | 24,854,675 | 13,827,751 | ||||||
Currencies | ||||||||
Foreign currencies, at cost | — | 1,237 | ||||||
Net unrealized depreciation | — | (7 | ) | |||||
|
|
|
| |||||
Total foreign currencies, at value | — | 1,230 | ||||||
Cash | 557,953 | — | ||||||
Receivable for fund shares sold | 7,853 | 188 | ||||||
Receivable for securities sold | 76,287 | 220,799 | ||||||
Receivable from Adviser | — | 346 | ||||||
Dividends and interest receivable | 35,570 | 6,274 | ||||||
Tax reclaim receivable | — | 42,421 | ||||||
Other assets | 13,742 | 15,339 | ||||||
|
|
|
| |||||
Total assets | 25,546,080 | 14,114,348 | ||||||
|
|
|
| |||||
LIABILITIES: | ||||||||
Obligation to return securities lending collateral | 160,242 | 509,540 | ||||||
Cash overdraft | — | 5,941 | ||||||
Foreign currency overdraft | — | 82,794 | ||||||
Payable for fund shares redeemed | 209,171 | — | ||||||
Payable for securities purchased | 767,638 | 456,461 | ||||||
Accrued advisory fee | 15,936 | — | ||||||
Audit and tax fees | 26,669 | 30,776 | ||||||
Other accrued expenses | 17,914 | 32,182 | ||||||
|
|
|
| |||||
Total liabilities | 1,197,570 | 1,117,694 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 24,348,510 | $ | 12,996,654 | ||||
|
|
|
| |||||
COMPONENTS OF NET ASSETS | ||||||||
Paid-in-capital | $ | 22,506,174 | $ | 12,984,939 | ||||
Undistributed (distributions in excess of) net investment income | 11,307 | (49,171 | ) | |||||
Accumulated net realized loss on investments | (191,009 | ) | (73,915 | ) | ||||
Net unrealized appreciation of investments and foreign currency | 2,022,038 | 134,801 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 24,348,510 | $ | 12,996,654 | ||||
|
|
|
| |||||
NET ASSETS BY SHARE CLASS | ||||||||
Investor Shares | $ | 20,498,891 | $ | 8,474,558 | ||||
Institutional Shares | 3,849,619 | 4,522,096 | ||||||
|
|
|
| |||||
NET ASSETS | $ | 24,348,510 | $ | 12,996,654 | ||||
|
|
|
| |||||
SHARES OF BENEFICIAL INTEREST OUTSTANDING | ||||||||
($0 01 par value, unlimited authorized shares) | ||||||||
Investor Shares | 2,580,543 | 705,191 | ||||||
Institutional Shares | 478,767 | 374,830 | ||||||
NET ASSET VALUE (OFFERING AND REDEMPTION PRICE PER SHARE) | ||||||||
Investor Shares | $ | 7.94 | $ | 12 02 | ||||
Institutional Shares | $ | 8.04 | $ | 12 06 | ||||
1 Includes securities loaned of: | $ | 154,971 | $ | 485,147 |
See accompanying notes. | CRM Funds | |||
34 |
CRM FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2015 (Unaudited)
CRM Small Cap | CRM Small/Mid | CRM Mid Cap | CRM Large Cap | |||||||||||||
Value Fund | Cap Value Fund | Value Fund | Opportunity Fund | |||||||||||||
INVESTMENT INCOME | ||||||||||||||||
Dividends | $ | 3,885,797 | $ | 8,570,864 | $ | 16,414,363 | $ | 386,771 | ||||||||
Securities lending income | 27,013 | 15,410 | 24,830 | — | ||||||||||||
Foreign tax withheld | — | (14,138 | ) | — | — | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Total investment income | 3,912,810 | 8,572,136 | 16,439,193 | 386,771 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
EXPENSES | ||||||||||||||||
Investment advisory fees | 1,763,594 | 3,054,099 | 3,949,075 | 162,163 | ||||||||||||
Administration and accounting fees | 56,401 | 93,591 | 120,817 | 8,625 | ||||||||||||
Custody fees | 16,031 | 34,923 | 52,586 | 6,568 | ||||||||||||
Transfer Agent fees | 102,997 | 229,553 | 385,184 | 21,729 | ||||||||||||
Shareholder reports | 13,622 | 27,592 | 68,660 | 1,124 | ||||||||||||
Shareholder services - Investor Shares | 86,700 | 82,535 | 511,650 | 15,114 | ||||||||||||
Trustee fees and expenses | 29,565 | 50,269 | 66,419 | 2,139 | ||||||||||||
Registration fees | 19,163 | 27,952 | 20,019 | 20,361 | ||||||||||||
Audit and tax fees | 21,605 | 21,520 | 21,184 | 21,773 | ||||||||||||
Legal fees | 9,134 | 15,430 | 20,462 | 679 | ||||||||||||
Miscellaneous | 37,014 | 62,884 | 89,281 | 3,050 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
Total expenses | 2,155,826 | 3,700,348 | 5,305,337 | 263,325 | ||||||||||||
Expenses waived/reimbursed | — | — | — | (53,614 | ) | |||||||||||
|
|
|
|
|
|
|
| |||||||||
Net expenses | 2,155,826 | 3,700,348 | 5,305,337 | 209,711 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
NET INVESTMENT INCOME | 1,756,984 | 4,871,788 | 11,133,856 | 177,060 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | ||||||||||||||||
Net realized gain (loss) from: | ||||||||||||||||
Investments | 24,530,120 | 1 | (11,124,961 | )2 | 58,874,927 | (197,991 | ) | |||||||||
Net change in unrealized appreciation (depreciation) on: | ||||||||||||||||
Investments and foreign currency | (56,342,888 | ) | (100,260,241 | ) | (146,656,788 | ) | (1,432,182 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net realized and unrealized loss on investments and foreign currency | (31,812,768 | ) | (111,385,202 | ) | (87,781,861 | ) | (1,630,173 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
NET DECREASE IN NET ASSETS | ||||||||||||||||
RESULTING FROM OPERATIONS | $ | (30,055,784 | ) | $ | (106,513,414 | ) | $ | (76,648,005 | ) | $ | (1,453,113 | ) | ||||
|
|
|
|
|
|
|
|
1Includes realized loss of $2,172,646 as a result of a redemption-in-kind. (See Note 11 in the Notes to Financial Statements)
2Includes realized loss of $14,075,305 as a result of a redemption-in-kind. (See Note 11 in the Notes to Financial Statements)
See accompanying notes. | CRM Funds | |||
35 |
CRM FUNDS
STATEMENTS OF OPERATIONS
FOR THE SIX MONTHS ENDED DECEMBER 31, 2015 (Unaudited)
CRM International | ||||||||
CRM All Cap | Opportunity | |||||||
Value Fund | Fund | |||||||
INVESTMENT INCOME | ||||||||
Dividends | $ | 410,619 | $ | 65,725 | ||||
Securities lending income | 4,761 | 650 | ||||||
Foreign tax withheld | 1 | (6,096 | ) | |||||
|
|
|
| |||||
Total investment income | 415,381 | 60,279 | ||||||
|
|
|
| |||||
EXPENSES | ||||||||
Investment advisory fees | 136,055 | 51,019 | ||||||
Administration and accounting fees | 7,117 | 17,023 | ||||||
Custody fees | 6,315 | 20,343 | ||||||
Transfer Agent fees | 21,534 | 20,660 | ||||||
Shareholder reports | 1,418 | 586 | ||||||
Shareholder services - Investor Shares | 28,256 | 9,751 | ||||||
Trustee fees and expenses | 1,715 | 657 | ||||||
Registration fees | 19,264 | 18,661 | ||||||
Audit and tax fees | 21,769 | 20,516 | ||||||
Legal fees | 521 | 92 | ||||||
Miscellaneous | 2,943 | 4,849 | ||||||
|
|
|
| |||||
Total expenses | 246,907 | 164,157 | ||||||
Expenses waived/reimbursed | (39,631 | ) | (83,547 | ) | ||||
|
|
|
| |||||
Net expenses | 207,276 | 80,610 | ||||||
|
|
|
| |||||
NET INVESTMENT INCOME (LOSS) | 208,105 | (20,331 | ) | |||||
|
|
|
| |||||
REALIZED AND UNREALIZED GAIN (LOSS) ON INVESTMENTS AND FOREIGN CURRENCY | ||||||||
Net realized gain (loss) from: | ||||||||
Investments | 681,255 | 241,956 | ||||||
Foreign currency transactions | — | (17,053 | ) | |||||
Net change in unrealized appreciation (depreciation) on: | ||||||||
Investments and foreign currency | (1,959,081 | ) | (326,426 | ) | ||||
|
|
|
| |||||
Net realized and unrealized loss on investments and foreign currency | (1,277,826 | ) | (101,523 | ) | ||||
|
|
|
| |||||
NET DECREASE IN NET ASSETS RESULTING FROM OPERATIONS | $ | (1,069,721 | ) | $ | (121,854 | ) | ||
|
|
|
|
See accompanying notes. | CRM Funds | |||
36 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Small Cap Value Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 519,359,296 | $ | 789,868,592 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income | 1,756,984 | 1,172,709 | ||||||
Net realized gain from investments and foreign currency | 24,530,120 | 117,197,382 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (56,342,888 | ) | (87,886,266 | ) | ||||
|
|
|
| |||||
(30,055,784 | ) | 30,483,825 | ||||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | (112,408 | ) | (227,967 | ) | ||||
Net investment income - Institutional Shares | (1,134,663 | ) | (2,594,356 | ) | ||||
Net realized gains on investments - Investor Shares | (12,447,576 | ) | (15,106,362 | ) | ||||
Net realized gains on investments - Institutional Shares | (52,717,047 | ) | (100,016,831 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (66,411,694 | ) | (117,945,516 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 1,188,863 | 4,476,796 | ||||||
Sale of shares - Institutional Shares | 23,665,712 | 60,324,590 | ||||||
Reinvestment of distributions - Investor Shares | 11,557,728 | 15,019,281 | ||||||
Reinvestment of distributions - Institutional Shares | 51,016,071 | 99,243,526 | ||||||
Redemption of shares - Investor Shares | (8,860,149 | ) | (16,961,453 | ) | ||||
Redemption of shares - Institutional Shares | (139,121,873 | ) | (345,150,345 | ) | ||||
|
|
|
| |||||
Net decrease from capital share transactions | (60,553,648 | ) | (183,047,605 | ) | ||||
|
|
|
| |||||
Total increase (decrease) in net assets | (157,021,126 | ) | (270,509,296 | ) | ||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 362,338,170 | $ | 519,359,296 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 1,614,974 | $ | 1,105,061 | ||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
37 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Small/Mid Cap Value Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 895,577,563 | $ | 1,156,166,534 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income | 4,871,788 | 7,075,621 | ||||||
Net realized gain (loss) from investments and foreign currency | (11,124,961 | ) | 129,705,446 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (100,260,241 | ) | (109,137,920 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (106,513,414 | ) | 27,643,147 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | — | (444,562 | ) | |||||
Net investment income - Institutional Shares | — | (8,764,095 | ) | |||||
Net realized gains on investments - Investor Shares | (6,470,204 | ) | (15,957,751 | ) | ||||
Net realized gains on investments - Institutional Shares | (74,078,444 | ) | (152,325,778 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (80,548,648 | ) | (177,492,186 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 6,226,545 | 23,874,268 | ||||||
Sale of shares - Institutional Shares | 50,901,356 | 95,904,163 | ||||||
Reinvestment of distributions - Investor Shares | 6,455,622 | 16,279,375 | ||||||
Reinvestment of distributions - Institutional Shares | 73,398,598 | 158,460,187 | ||||||
Redemption of shares - Investor Shares | (16,775,903 | ) | (224,573,383 | ) | ||||
Redemption of shares - Institutional Shares | (218,080,550 | ) | (180,684,542 | ) | ||||
|
|
|
| |||||
Net decrease from capital share transactions | (97,874,332 | ) | (110,739,932 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (284,936,394 | ) | (260,588,971 | ) | ||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 610,641,169 | $ | 895,577,563 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 4,871,788 | $ | — | ||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
38 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Mid Cap Value Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 1,197,750,767 | $ | 2,511,021,993 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income | 11,133,856 | 12,189,999 | ||||||
Net realized gain from investments and foreign currency | 58,874,927 | 428,776,208 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (146,656,788 | ) | (349,120,384 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (76,648,005 | ) | 91,845,823 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | (4,071,828 | ) | (3,006,610 | ) | ||||
Net investment income - Institutional Shares | (7,742,790 | ) | (11,051,434 | ) | ||||
Net realized gains on investments - Investor Shares | (102,386,426 | ) | (126,754,746 | ) | ||||
Net realized gains on investments - Institutional Shares | (162,476,387 | ) | (325,611,576 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (276,677,431 | ) | (466,424,366 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 15,477,095 | 39,614,462 | ||||||
Sale of shares - Institutional Shares | 35,665,585 | 147,625,819 | ||||||
Reinvestment of distributions - Investor Shares | 106,141,945 | 129,449,734 | ||||||
Reinvestment of distributions - Institutional Shares | 159,835,727 | 310,298,990 | ||||||
Redemption of shares - Investor Shares | (95,175,029 | ) | (258,843,266 | ) | ||||
Redemption of shares - Institutional Shares | (246,702,561 | ) | (1,306,838,422 | ) | ||||
|
|
|
| |||||
Net decrease from capital share transactions | (24,757,238 | ) | (938,692,683 | ) | ||||
|
|
|
| |||||
Total decrease in net assets | (378,082,674 | ) | (1,313,271,226 | ) | ||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 819,668,093 | $ | 1,197,750,767 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 399,306 | $ | 1,080,068 | ||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
39 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM Large Cap Opportunity Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 33,615,951 | $ | 41,719,683 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income | 177,060 | 125,222 | ||||||
Net realized gain (loss) from investments and foreign currency | (197,991 | ) | 7,873,720 | |||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (1,432,182 | ) | (5,048,197 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (1,453,113 | ) | 2,950,745 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | (16,753 | ) | (69,703 | ) | ||||
Net investment income - Institutional Shares | (183,652 | ) | (139,867 | ) | ||||
Net realized gains on investments - Investor Shares | (966,162 | ) | (4,236,406 | ) | ||||
Net realized gains on investments - Institutional Shares | (3,597,294 | ) | (5,651,452 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (4,763,861 | ) | (10,097,428 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 177,631 | 1,093,552 | ||||||
Sale of shares - Institutional Shares | 27,630,591 | 2,826,537 | ||||||
Reinvestment of distributions - Investor Shares | 945,717 | 4,286,059 | ||||||
Reinvestment of distributions - Institutional Shares | 1,587,884 | 5,472,241 | ||||||
Redemption of shares - Investor Shares | (484,808 | ) | (5,515,858 | ) | ||||
Redemption of shares - Institutional Shares | (1,846,330 | ) | (9,119,580 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 28,010,685 | (957,049 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 21,793,711 | (8,103,732 | ) | |||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 55,409,662 | $ | 33,615,951 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | (400 | ) | $ | 22,945 | |||
|
|
|
|
See accompanying notes. | CRM Funds | |||
40 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM All Cap Value Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 29,682,592 | $ | 49,281,262 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income (loss) | 208,105 | (13,188 | ) | |||||
Net realized gain from investments and foreign currency | 681,255 | 7,855,247 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (1,959,081 | ) | (6,503,318 | ) | ||||
|
|
|
| |||||
Net increase (decrease) in net assets resulting from operations | (1,069,721 | ) | 1,338,741 | |||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | (142,587 | ) | (74,009 | ) | ||||
Net investment income - Institutional Shares | (54,211 | ) | (32,175 | ) | ||||
Net realized gains on investments - Investor Shares | (4,945,005 | ) | (8,354,988 | ) | ||||
Net realized gains on investments - Institutional Shares | (1,326,974 | ) | (1,590,746 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (6,468,777 | ) | (10,051,918 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 1,225,362 | 2,165,759 | ||||||
Sale of shares - Institutional Shares | 17,253 | 234,817 | ||||||
Reinvestment of distributions - Investor Shares | 4,689,435 | 8,052,652 | ||||||
Reinvestment of distributions - Institutional Shares | 1,308,459 | 1,555,197 | ||||||
Redemption of shares - Investor Shares | (2,836,562 | ) | (20,708,507 | ) | ||||
Redemption of shares - Institutional Shares | (2,199,531 | ) | (2,185,411 | ) | ||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,204,416 | (10,885,493 | ) | |||||
|
|
|
| |||||
Total decrease in net assets | (5,334,082 | ) | (19,598,670 | ) | ||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 24,348,510 | $ | 29,682,592 | ||||
|
|
|
| |||||
Undistributed net investment income | $ | 11,307 | $ | — | ||||
|
|
|
|
See accompanying notes. | CRM Funds | |||
41 |
CRM FUNDS
STATEMENTS OF CHANGES IN NET ASSETS
CRM International | ||||||||
Opportunity Fund | ||||||||
Six Months Ended | ||||||||
December 31, 2015 | Year Ended | |||||||
(Unaudited) | June 30, 2015 | |||||||
NET ASSETS - BEGINNING OF PERIOD | $ | 11,209,390 | $ | 22,142,056 | ||||
|
|
|
| |||||
OPERATIONS | ||||||||
Net investment income (loss) | (20,331 | ) | 74,563 | |||||
Net realized gain from investments and foreign currency | 224,903 | 812,164 | ||||||
Net change in unrealized appreciation (depreciation) on investments and foreign currency | (326,426 | ) | (1,479,877 | ) | ||||
|
|
|
| |||||
Net decrease in net assets resulting from operations | (121,854 | ) | (593,150 | ) | ||||
|
|
|
| |||||
DISTRIBUTIONS TO SHAREHOLDERS FROM | ||||||||
Net investment income - Investor Shares | (26,798 | ) | (12,761 | ) | ||||
Net investment income - Institutional Shares | (19,723 | ) | (17,660 | ) | ||||
Net realized gains on investments - Investor Shares | (698,424 | ) | (843,476 | ) | ||||
Net realized gains on investments - Institutional Shares | (298,856 | ) | (457,520 | ) | ||||
|
|
|
| |||||
Total distributions to shareholders | (1,043,801 | ) | (1,331,417 | ) | ||||
|
|
|
| |||||
CAPITAL SHARE TRANSACTIONS | ||||||||
Sale of shares - Investor Shares | 829,046 | 711,509 | ||||||
Sale of shares - Institutional Shares | 1,159,925 | 68,235 | ||||||
Reinvestment of distributions - Investor Shares | 711,737 | 836,085 | ||||||
Reinvestment of distributions - Institutional Shares | 295,219 | 394,741 | ||||||
Redemption of shares - Investor Shares | 25,373 | (1,742,293 | ) | |||||
Redemption of shares - Institutional Shares | (68,381 | ) | (9,276,550 | ) | ||||
Redemption fee - Investor Shares | — | 35 | ||||||
Redemption fee - Institutional Shares | — | 139 | ||||||
|
|
|
| |||||
Net increase (decrease) from capital share transactions | 2,952,919 | (9,008,099 | ) | |||||
|
|
|
| |||||
Total increase (decrease) in net assets | 1,787,264 | (10,932,666 | ) | |||||
|
|
|
| |||||
NET ASSETS - END OF PERIOD | $ | 12,996,654 | $ | 11,209,390 | ||||
|
|
|
| |||||
Undistributed (distributions in excess of) net investment income | $ | (49,171 | ) | $ | 17,681 | |||
|
|
|
|
See accompanying notes. | CRM Funds | |||
42 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
The following tables include selected data for a share outstanding throughout each period and other performance information derived from the financial statements. The total returns in the tables represent the rate an investor would have earned or lost on an investment in the funds (assuming reinvestment of all dividends and distributions). This information should be read in conjunction with the financial statements and notes thereto.
CRM Small Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2015 | ||||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 19.98 | $ | 23.54 | $ | 21.94 | $ | 18.02 | $ | 24.08 | $ | 17.00 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.06 | — | 2 | 0.08 | 0.18 | 3 | 0.13 | (0.01 | ) | |||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.33 | ) | 1.32 | 4.43 | 4.08 | (2.88 | ) | 7.09 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.27 | ) | 1.32 | 4.51 | 4.26 | (2.75 | ) | 7.08 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.03 | ) | (0.07 | ) | (0.04 | ) | (0.34 | ) | — | — | ||||||||||||||||||
From net realized gains on investments | (3.51 | ) | (4.81 | ) | (2.87 | ) | — | (3.31 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (3.54 | ) | (4.88 | ) | (2.91 | ) | (0.34 | ) | (3.31 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 15.17 | $ | 19.98 | $ | 23.54 | $ | 21.94 | $ | 18.02 | $ | 24.08 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (6.38 | )%4 | 7.14 | % | 21.39 | % | 24.00 | % | (9.58 | )% | 41.65 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 1.11 | %5 | 1.09 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.08 | % | ||||||||||||||||
Net investment income (loss) | 0.61 | %5 | 0.02 | % | 0.32 | % | 0.88 | %3 | 0.71 | % | (0.06 | )% | ||||||||||||||||
Portfolio turnover rate | 32 | %4 | 83 | % | 66 | % | 77 | % | 103 | % | 115 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 60,702 | $ | 74,037 | $ | 81,948 | $ | 104,155 | $ | 101,747 | $ | 159,302 |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Amount represents less than $0.005. |
3 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.09 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.38%. |
4 | Not annualized. |
5 | Annualized. |
See accompanying notes. | CRM Funds | |||
43 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2015 | ||||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 21.94 | $ | 25.37 | $ | 23.45 | $ | 19.24 | $ | 25.43 | $ | 17.91 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.08 | 0.05 | 0.13 | 0.23 | 2 | 0.21 | 0.04 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.45 | ) | 1.45 | 4.75 | 4.37 | (3.05 | ) | 7.48 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.37 | ) | 1.50 | 4.88 | 4.60 | (2.84 | ) | 7.52 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.12 | ) | (0.09 | ) | (0.39 | ) | (0.04 | ) | — | |||||||||||||||||
From net realized gains on investments | (3.51 | ) | (4.81 | ) | (2.87 | ) | — | (3.31 | ) | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (3.59 | ) | (4.93 | ) | (2.96 | ) | (0.39 | ) | (3.35 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 16.98 | $ | 21.94 | $ | 25.37 | $ | 23.45 | $ | 19.24 | $ | 25.43 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (6.30 | )%3 | 7.39 | % | 21.63 | % | 24.27 | % | (9.36 | )% | 41.99 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 0.88 | %4 | 0.86 | % | 0.85 | % | 0.85 | % | 0.85 | % | 0.85 | % | ||||||||||||||||
Net investment income | 0.77 | %4 | 0.22 | % | 0.53 | % | 1.10 | %2 | 1.02 | % | 0.19 | % | ||||||||||||||||
Portfolio turnover rate | 32 | %3 | 83 | % | 66 | % | 77 | % | 103 | % | 115 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 301,636 | $ | 445,322 | $ | 707,921 | $ | 634,031 | $ | 625,090 | $ | 706,757 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.10 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.60%. |
3 | Not annualized. |
4 | Annualized. |
See accompanying notes. | CRM Funds | |||
44 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small/Mid Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2015 | ||||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 15.41 | $ | 18.66 | $ | 16.94 | $ | 14.12 | $ | 15.97 | $ | 11.45 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.07 | 0.07 | 0.05 | 0.05 | 0.03 | (0.02 | ) | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.88 | ) | 0.26 | 3.94 | 3.06 | (0.72 | ) | 4.54 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.81 | ) | 0.33 | 3.99 | 3.11 | (0.69 | ) | 4.52 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | — | (0.10 | ) | (0.02 | ) | (0.09 | ) | — | — | |||||||||||||||||||
From net realized gains on investments | (1.47 | ) | (3.48 | ) | (2.25 | ) | (0.20 | ) | (1.16 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1.47 | ) | (3.58 | ) | (2.27 | ) | (0.29 | ) | (1.16 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 12.13 | $ | 15.41 | $ | 18.66 | $ | 16.94 | $ | 14.12 | $ | 15.97 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (11.85 | )%2 | 3.16 | % | 25.09 | % | 22.33 | % | (3.23 | )% | 39.48 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 1.10 | %3 | 1.08 | % | 1.07 | % | 1.08 | % | 1.08 | % | 1.08 | % | ||||||||||||||||
Net investment income (loss) | 0.98 | %3 | 0.39 | % | 0.27 | % | 0.32 | % | 0.18 | % | (0.16 | )% | ||||||||||||||||
Portfolio turnover rate | 37 | %2 | 82 | % | 86 | % | 96 | % | 96 | % | 97 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 56,688 | $ | 75,621 | $ | 274,988 | $ | 245,267 | $ | 182,394 | $ | 167,235 |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
45 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Small/Mid Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the | ||||||||||||||||||||||||||||
Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
December 31, 2015 | ||||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 15.62 | $ | 18.93 | $ | 17.16 | $ | 14.29 | $ | 16.12 | $ | 11.54 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.09 | 0.13 | 0.09 | 0.09 | 0.05 | 0.01 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (1.92 | ) | 0.24 | 3.99 | 3.10 | (0.72 | ) | 4.59 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.83 | ) | 0.37 | 4.08 | 3.19 | (0.67 | ) | 4.60 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | — | (0.20 | ) | (0.06 | ) | (0.12 | ) | — | (0.02 | ) | ||||||||||||||||||
From net realized gains on investments | (1.47 | ) | (3.48 | ) | (2.25 | ) | (0.20 | ) | (1.16 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1.47 | ) | (3.68 | ) | (2.31 | ) | (0.32 | ) | (1.16 | ) | (0.02 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 12.32 | $ | 15.62 | $ | 18.93 | $ | 17.16 | $ | 14.29 | $ | 16.12 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (11.83 | )%2 | 3.41 | % | 25.34 | % | 22.65 | % | (3.07 | )% | 39.86 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 0.89 | %3 | 0.87 | % | 0.85 | % | 0.87 | % | 0.87 | % | 0.86 | % | ||||||||||||||||
Net investment income | 1.22 | %3 | 0.80 | % | 0.49 | % | 0.55 | % | 0.38 | % | 0.05 | % | ||||||||||||||||
Portfolio turnover rate | 37 | %2 | 82 | % | 86 | % | 96 | % | 96 | % | 97 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 553,953 | $ | 819,957 | $ | 881,179 | $ | 720,912 | $ | 616,731 | $ | 744,192 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
46 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Mid Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the Six Months Ended December 31, 2015 | For the Years Ended June 30, 2014 | |||||||||||||||||||||||||||
(Unaudited) | 2015 |
| 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 28.93 | $ | 35.61 | $ | 34.36 | $ | 28.14 | $ | 30.48 | $ | 22.15 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.26 | 0.15 | 0.12 | 0.24 | 0.20 | 0.12 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.22 | ) | 1.31 | 7.12 | 6.30 | (2.40 | ) | 8.30 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.96 | ) | 1.46 | 7.24 | 6.54 | (2.20 | ) | 8.42 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.30 | ) | (0.19 | ) | (0.18 | ) | (0.32 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||||||
From net realized gains on investments | (7.57 | ) | (7.95 | ) | (5.81 | ) | — | — | — | |||||||||||||||||||
Total distributions to shareholders | (7.87 | ) | (8.14 | ) | (5.99 | ) | (0.32 | ) | (0.14 | ) | (0.09 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 19.10 | $ | 28.93 | $ | 35.61 | $ | 34.36 | $ | 28.14 | $ | 30.48 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (6.86 | )%2 | 5.73 | % | 22.95 | % | 23.43 | % | (7.16 | )% | 38.07 | % | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 1.12 | %3 | 1.05 | % | 1.03 | % | 1.02 | % | 1.02 | % | 1.01 | % | ||||||||||||||||
Net investment income | 1.96 | %3 | 0.49 | % | 0.35 | % | 0.78 | % | 0.73 | % | 0.45 | % | ||||||||||||||||
Portfolio turnover rate | 40 | %2 | 105 | % | 77 | % | 91 | % | 105 | % | 116 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 351,550 | $ | 461,579 | $ | 654,431 | $ | 844,632 | $ | 1,062,429 | $ | 1,459,517 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
47 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Mid Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the Six Months Ended December 31, 2015 | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 29.60 | $ | 36.27 | $ | 34.90 | $ | 28.60 | $ | 30.98 | $ | 22.53 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.03 | 0.22 | 0.21 | 0.32 | 0.26 | 0.19 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (2.01 | ) | 1.33 | 7.23 | 6.38 | (2.44 | ) | 8.43 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (1.98 | ) | 1.55 | 7.44 | 6.70 | (2.18 | ) | 8.62 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.36 | ) | (0.27 | ) | (0.26 | ) | (0.40 | ) | (0.20 | ) | (0.17 | ) | ||||||||||||||||
From net realized gains on investments | (7.57 | ) | (7.95 | ) | (5.81 | ) | — | — | — | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (7.93 | ) | (8.22 | ) | (6.07 | ) | (0.40 | ) | (0.20 | ) | (0.17 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 19.69 | $ | 29.60 | $ | 36.27 | $ | 34.90 | $ | 28.60 | $ | 30.98 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (6.77 | )%2 | 5.91 | % | 23.22 | % | 23.68 | % | (6.95 | )% | 38.32 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses | 0.93 | %3 | 0.85 | % | 0.81 | % | 0.81 | % | 0.81 | % | 0.80 | % | ||||||||||||||||
Net investment income | 2.20 | %3 | 0.70 | % | 0.57 | % | 1.00 | % | 0.94 | % | 0.67 | % | ||||||||||||||||
Portfolio turnover rate | 40 | %2 | 105 | % | 77 | % | 91 | % | 105 | % | 116 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 468,118 | $ | 736,171 | $ | 1,856,591 | $ | 2,034,380 | $ | 2,177,845 | $ | 2,693,764 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
48 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Large Cap Opportunity Fund — Investor Shares | ||||||||||||||||||||||||||||
For the Six Months Ended December 31, 2015 | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 9.48 | $ | 12.23 | $ | 12.27 | $ | 10.88 | $ | 10.91 | $ | 8.26 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.03 | 0.02 | 0.07 | 0.10 | 0.08 | 0.04 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.52 | ) | 0.78 | 2.28 | 1.94 | (0.07 | ) | 2.64 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.49 | ) | 0.80 | 2.35 | 2.04 | 0.01 | 2.68 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.01 | ) | (0.06 | ) | (0.15 | ) | (0.10 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||||||
From net realized gains on investments | (0.75 | ) | (3.49 | ) | (2.24 | ) | (0.55 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (0.76 | ) | (3.55 | ) | (2.39 | ) | (0.65 | ) | (0.04 | ) | (0.03 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 8.23 | $ | 9.48 | $ | 12.23 | $ | 12.27 | $ | 10.88 | $ | 10.91 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (5.27 | )%2 | 8.42 | % | 21.24 | % | 19.61 | % | 0.15 | % | 32.44 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.15 | %3 | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | 1.15 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.43 | %3 | 1.42 | % | 1.35 | % | 1.31 | % | 1.33 | % | 1.29 | % | ||||||||||||||||
Net investment income, including waiver/reimbursement | 0.59 | %3 | 0.20 | % | 0.54 | % | 0.88 | % | 0.74 | % | 0.36 | % | ||||||||||||||||
Portfolio turnover rate | 59 | %2 | 132 | % | 89 | % | 113 | % | 126 | % | 155 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 11,619 | $ | 12,604 | $ | 15,858 | $ | 20,816 | $ | 19,131 | $ | 23,871 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
49 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM Large Cap Opportunity Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the Six Months Ended December 31, 2015 | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 9.50 | $ | 12.25 | $ | 12.30 | $ | 10.91 | $ | 10.95 | $ | 8.29 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income1 | 0.04 | 0.05 | 0.10 | 0.13 | 0.09 | 0.06 | ||||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.51 | ) | 0.78 | 2.28 | 1.94 | (0.06 | ) | 2.65 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.47 | ) | 0.83 | 2.38 | 2.07 | 0.03 | 2.71 | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.09 | ) | (0.19 | ) | (0.13 | ) | (0.07 | ) | (0.05 | ) | ||||||||||||||||
From net realized gains on investments | (0.75 | ) | (3.49 | ) | (2.24 | ) | (0.55 | ) | — | — | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (0.79 | ) | (3.58 | ) | (2.43 | ) | (0.68 | ) | (0.07 | ) | (0.05 | ) | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 8.24 | $ | 9.50 | $ | 12.25 | $ | 12.30 | $ | 10.91 | $ | 10.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (5.10 | )%2 | 8.69 | % | 21.52 | % | 19.87 | % | 0.34 | % | 32.73 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 0.90 | %3 | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | 0.90 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.14 | %3 | 1.17 | % | 1.10 | % | 1.07 | % | 1.09 | % | 1.06 | % | ||||||||||||||||
Net investment income, including waiver/reimbursement | 0.91 | %3 | 0.45 | % | 0.78 | % | 1.15 | % | 0.93 | % | 0.62 | % | ||||||||||||||||
Portfolio turnover rate | 59 | %2 | 132 | % | 89 | % | 113 | % | 126 | % | 155 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 43,790 | $ | 21,012 | $ | 25,861 | $ | 42,914 | $ | 24,210 | $ | 45,900 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Not annualized. |
3 | Annualized. |
See accompanying notes. | CRM Funds | |||
50 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM All Cap Value Fund — Investor Shares | ||||||||||||||||||||||||||||
For the Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 10.72 | $ | 12.99 | $ | 11.88 | $ | 9.92 | $ | 10.89 | $ | 7.85 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.07 | (0.01 | ) | 0.02 | 0.11 | 2 | — | 3 | (0.06 | ) | ||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.47 | ) | 0.51 | 2.23 | 1.98 | (0.75 | ) | 3.10 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.40 | ) | 0.50 | 2.25 | 2.09 | (0.75 | ) | 3.04 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.07 | ) | (0.02 | ) | (0.03 | ) | (0.10 | ) | — | — | ||||||||||||||||||
From net realized gains on investments | (2.31 | ) | (2.75 | ) | (1.11 | ) | (0.03 | ) | (0.22 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (2.38 | ) | (2.77 | ) | (1.14 | ) | (0.13 | ) | (0.22 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 7.94 | $ | 10.72 | $ | 12.99 | $ | 11.88 | $ | 9.92 | $ | 10.89 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (3.73 | )%4 | 5.48 | % | 19.87 | % | 21.26 | % | (6.61 | )% | 38.73 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.50 | %5 | 1.50 | % | 1.45 | % | 1.49 | % | 1.50 | % | 1.50 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.78 | %5 | 1.59 | % | 1.45 | % | 1.49 | % | 1.58 | % | 1.77 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | 1.40 | %5 | (0.08 | )% | 0.18 | % | 0.98 | %2 | 0.04 | % | (0.56 | )% | ||||||||||||||||
Portfolio turnover rate | 49 | %4 | 97 | % | 76 | % | 113 | % | 145 | % | 154 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 20,499 | $ | 23,367 | $ | 41,279 | $ | 37,537 | $ | 24,224 | $ | 28,018 |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.06 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.47%. |
3 | Amount represents less than $0.005. |
4 | Not annualized. |
5 | Annualized. |
See accompanying notes. | CRM Funds | |||
51 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM All Cap Value Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 10.84 | $ | 13.10 | $ | 11.97 | $ | 10.00 | $ | 10.95 | $ | 7.87 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | 0.09 | 0.02 | 0.06 | 0.13 | 2 | 0.04 | (0.03 | ) | ||||||||||||||||||||
Net realized and unrealized gain (loss) on investments | (0.49 | ) | 0.53 | 2.24 | 2.00 | (0.77 | ) | 3.11 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.40 | ) | 0.55 | 2.30 | 2.13 | (0.73 | ) | 3.08 | ||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.09 | ) | (0.06 | ) | (0.06 | ) | (0.13 | ) | — | — | ||||||||||||||||||
From net realized gains on investments | (2.31 | ) | (2.75 | ) | (1.11 | ) | (0.03 | ) | (0.22 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (2.40 | ) | (2.81 | ) | (1.17 | ) | (0.16 | ) | (0.22 | ) | — | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 8.04 | $ | 10.84 | $ | 13.10 | $ | 11.97 | $ | 10.00 | $ | 10.95 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (3.59 | )%3 | 5.82 | % | 20.16 | % | 21.48 | % | (6.39 | )% | 39.14 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.25 | %4 | 1.25 | % | 1.18 | % | 1.24 | % | 1.25 | % | 1.25 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 1.53 | %4 | 1.35 | % | 1.18 | % | 1.24 | % | 1.33 | % | 1.53 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | 1.66 | %4 | 0.17 | % | 0.43 | % | 1.22 | %2 | 0.41 | % | (0.33 | )% | ||||||||||||||||
Portfolio turnover rate | 49 | %3 | 97 | % | 76 | % | 113 | % | 145 | % | 154 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 3,850 | $ | 6,316 | $ | 8,002 | $ | 35,138 | $ | 26,195 | $ | 11,398 |
1 | The net investment income (loss) per share was calculated using the average shares outstanding method. |
2 | For the year ended June 30, 2013, net investment income per share reflects special dividends which amounted to $0.06 per share. Excluding the special dividends, the ratio of net investment income to average net assets would have been 0.71%. |
3 | Not annualized. |
4 | Annualized. |
See accompanying notes. | CRM Funds | |||
52 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM International Opportunity Fund — Investor | ||||||||||||||||||||||||||||
For the Six Months Ended December 31, 2015 | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 13.37 | $ | 15.32 | $ | 13.86 | $ | 12.29 | $ | 17.25 | $ | 13.00 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.03 | ) | 0.08 | 0.06 | 0.17 | 0.14 | 0.08 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.12 | ) | (0.49 | ) | 1.52 | 1.40 | (3.36 | ) | 4.83 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.15 | ) | (0.41 | ) | 1.58 | 1.57 | (3.22 | ) | 4.91 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.04 | ) | (0.02 | ) | (0.12 | ) | — | — | 2 | (0.03 | ) | |||||||||||||||||
From net realized gains on investments | (1.16 | ) | (1.52 | ) | — | — | (1.74 | ) | (0.63 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1.20 | ) | (1.54 | ) | (0.12 | ) | — | (1.74 | ) | (0.66 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Paid in capital from redemption fees3 | — | — | 2 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 12.02 | $ | 13.37 | $ | 15.32 | $ | 13.86 | $ | 12.29 | $ | 17.25 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (1.08 | )%4 | (1.96 | )% | 11.46 | % | 12.78 | % | (17.70 | )% | 38.14 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.50 | %5 | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | 1.50 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 2.97 | %5 | 2.66 | % | 1.74 | % | 2.10 | % | 2.94 | % | 3.32 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | (0.44 | )%5 | 0.61 | % | 0.39 | % | 1.24 | % | 1.08 | % | 0.48 | % | ||||||||||||||||
Portfolio turnover rate | 46 | %4 | 95 | % | 102 | % | 134 | % | 220 | % | 239 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 8,475 | $ | 7,726 | $ | 8,955 | $ | 8,925 | $ | 5,788 | $ | 4,865 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | Amount represents less than $0.005. |
3 | The redemption fees per share were calculated using the average shares outstanding method. |
4 | Not annualized. |
5 | Annualized. |
See accompanying notes. | CRM Funds | |||
53 |
CRM FUNDS
FINANCIAL HIGHLIGHTS
CRM International Opportunity Fund — Institutional Shares | ||||||||||||||||||||||||||||
For the Six Months Ended | For the Years Ended June 30, | |||||||||||||||||||||||||||
(Unaudited) | 2015 | 2014 | 2013 | 2012 | 2011 | |||||||||||||||||||||||
Net Asset Value — Beginning of Period | $ | 13.43 | $ | 15.39 | $ | 13.93 | $ | 12.32 | $ | 17.31 | $ | 13.03 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Investment operations: | ||||||||||||||||||||||||||||
Net investment income (loss)1 | (0.01 | ) | 0.06 | 0.05 | 0.34 | 0.12 | 0.15 | |||||||||||||||||||||
Net realized and unrealized gain (loss) on investments and foreign currency | (0.12 | ) | (0.44 | ) | 1.57 | 1.27 | (3.33 | ) | 4.82 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total from investment operations | (0.13 | ) | (0.38 | ) | 1.62 | 1.61 | (3.21 | ) | 4.97 | |||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Distributions to shareholders: | ||||||||||||||||||||||||||||
From net investment income | (0.08 | ) | (0.06 | ) | (0.16 | ) | — | (0.04 | ) | (0.06 | ) | |||||||||||||||||
From net realized gains on investments. | (1.16 | ) | (1.52 | ) | — | — | (1.74 | ) | (0.63 | ) | ||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total distributions to shareholders | (1.24 | ) | (1.58 | ) | (0.16 | ) | — | (1.78 | ) | (0.69 | ) | |||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Paid in capital from redemption fees2 | — | — | 3 | — | — | — | — | |||||||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Net Asset Value — End of Period | $ | 12.06 | $ | 13.43 | $ | 15.39 | $ | 13.93 | $ | 12.32 | $ | 17.31 | ||||||||||||||||
|
|
|
|
|
|
|
|
|
|
|
| |||||||||||||||||
Total Return | (0.99 | )%4 | (1.76 | )% | 11.68 | % | 12.98 | % | (17.50 | )% | 38.53 | % | ||||||||||||||||
Ratios/Supplemental Data: | ||||||||||||||||||||||||||||
Ratios to average net assets: | ||||||||||||||||||||||||||||
Expenses, including waiver/reimbursement | 1.25 | %5 | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | 1.25 | % | ||||||||||||||||
Expenses, excluding waiver/reimbursement | 2.72 | %5 | 2.31 | % | 1.35 | % | 1.73 | % | 2.84 | % | 3.10 | % | ||||||||||||||||
Net investment income (loss), including waiver/reimbursement | (0.17 | )%5 | 0.45 | % | 0.32 | % | 2.42 | % | 0.89 | % | 0.90 | % | ||||||||||||||||
Portfolio turnover rate | 46 | %4 | 95 | % | 102 | % | 134 | % | 220 | % | 239 | % | ||||||||||||||||
Net Assets at the end of period (000’s omitted) | $ | 4,522 | $ | 3,484 | $ | 13,187 | $ | 37,077 | $ | 10,675 | $ | 18,121 |
1 | The net investment income per share was calculated using the average shares outstanding method. |
2 | The redemption fees per share were calculated using the average shares outstanding method. |
3 | Amount represents less than $0.005. |
4 | Not annualized. |
5 | Annualized. |
See accompanying notes. | CRM Funds | |||
54 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited)
1. | Description of the Funds. CRM Small Cap Value Fund (“Small Cap Value Fund”), CRM Small/Mid Cap Value Fund (“Small/Mid Cap Value Fund”), CRM Mid Cap Value Fund (“Mid Cap Value Fund”), CRM Large Cap Opportunity Fund (“Large Cap Opportunity Fund”), CRM All Cap Value Fund (“All Cap Value Fund”), and CRM International Opportunity Fund (“International Opportunity Fund”) (each, a “Fund” and collectively, the “Funds”) are series of the CRM Mutual Fund Trust (the “Trust”). The Trust is registered under the Investment Company Act of 1940, as amended (the “1940 Act”), as an open-end management investment company and was organized as a Delaware statutory trust on March 30, 2005. |
Each Fund offers Investor and Institutional Shares. Each class has different minimum investment requirements, fees and expenses. All classes of shares have identical voting, dividend and liquidation rights. Institutional Shares are offered only to those investors who invest in a Fund through an intermediary (i.e. broker) or through a consultant and who invest $1,000,000 or more or where related accounts total $1,000,000 or more when combined. Investor Shares are available to all investors and are subject to a shareholder servicing fee.
2. | Significant Accounting Policies. The Funds are investment companies in conformity with U.S. generally accepted accounting principles (“U.S. GAAP”). Therefore, the Funds follow the accounting and reporting guidelines for investment companies. The following is a summary of the significant accounting policies of the Funds: |
Security Valuation. The Funds value their investment securities based on current market values when such values are available. These prices normally are supplied by a pricing service.
In valuing a Fund’s investment securities, a security listed on the New York Stock Exchange (the “Exchange”) (and not subject to restrictions against sale by the Fund on the Exchange) will be valued at its last sale price on the Exchange on the day the security is valued. Lacking any sales on such day, the security will be valued at the mean between the closing asked price and the closing bid price. Securities listed on other exchanges (and not subject to restriction against sale by the Fund on such exchanges) will be similarly valued, using quotations on the exchange on which the security is traded most extensively. Securities that are quoted on the NASDAQ Stock Market, for which there have been sales of such securities on such day, shall be valued at the last sale price reported on such system on the day the security is valued. If there are no such sales on such day, the value shall be the mean between the closing asked price and the closing bid price. The value of such securities quoted on the stock market system, but not listed on the national market system, shall be valued at the mean between the closing asked price and the closing bid price. Unlisted securities that are not quoted on the NASDAQ Stock Market and for which over-the-counter market quotations are readily available will be valued at the mean between the current bid and asked prices for such security in the over-the-counter market. Short-term investments with remaining maturities of less than 61 days are valued at amortized cost. A Fund’s currency valuations, if any, are also valued at the close of regular trading on the Exchange. Investments in other open-end investment companies are valued at such investment company’s current day closing net asset value per share.
Securities that do not have a readily available current market value are valued in good faith by, or under the direction of, the Board of Trustees of the Trust (the “Board” or “Trustees”). The Funds may use fair value methodologies if it is determined that a significant event has occurred between the time at which a market price is determined and the time at which the Fund’s net asset value (“NAV”) is calculated and that may
CRM Funds | ||||
55 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
materially affect the value of the security. In particular, the value of foreign securities may be materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. Securities trading in overseas markets present time zone arbitrage opportunities when events affecting portfolio security values occur after the close of the overseas market but prior to the close of the U.S. market. In addition, arbitrage opportunities may exist when trading in a portfolio security or securities is halted and does not resume before a fund calculates its NAV. These arbitrage opportunities may enable short-term traders to profit at the expense of long-term investors. International Opportunity Fund uses a fair value model, developed by an independent third party pricing service, to price foreign equity securities on days when there is a certain percentage change in the value of a domestic equity security index, as such percentage may be determined by the Board of Trustees from time to time. Valuing securities using fair value methodologies involves greater reliance on judgment than valuing securities based on readily available market quotations. A Fund, when using fair value methodologies to price securities, may value those securities higher or lower than another fund using market quotations or its own fair value methodologies to price the same securities. There can be no assurance that a Fund could obtain the fair value assigned to a security if it were to sell the security.
The Funds disclose the value of their investments in a hierarchy based on the inputs used to value the investments. The disclosure hierarchy consists of three broad levels:
• | Level 1 — | quoted prices in active markets for identical securities |
Investments whose values are based on quoted market prices in active markets, and whose values are therefore classified as Level 1 prices, include active listed equity securities. The Funds do not adjust the quoted price for such investments, even in situations where the Funds hold a large position and a sale could reasonably impact the quoted price.
• | Level 2 — | other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.) |
Investments that trade in markets that are not considered to be active, but whose values are based on quoted market prices, dealer quotations or valuations provided by alternative pricing sources supported by observable inputs are classified as Level 2 prices. These generally include certain U.S. government and sovereign obligations, most government agency securities, investment-grade corporate bonds and less liquid listed equity securities. In addition, foreign securities may require revised valuations if the values of the securities are materially affected by events occurring after the close of the market on which they are valued, but before a Fund prices its shares. As noted above, International Opportunity Fund uses a fair value model developed by an independent third party pricing service to price foreign equity securities on days when there is a certain percentage change in the value of a domestic equity security index, as such percentage may be determined by the Board of Trustees from time to time. As investments whose values are classified as Level 2 prices may include positions that are not traded in active markets and/or are subject to transfer restrictions, valuations may be adjusted to reflect illiquidity and/or non-transferability, which are generally based on available market information.
CRM Funds | ||||
56 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
• | Level 3 — | significant unobservable inputs (including the Fund’s own assumptions in determining the fair value of investments) |
Investments whose values are classified as Level 3 prices have significant unobservable inputs, as they may trade infrequently or not at all. When observable prices are not available for these securities, the Funds use one or more valuation techniques for which sufficient and reliable data is available. The inputs used by the Funds in estimating the value of Level 3 prices may include the original transaction price, quoted prices for comparable companies or assets in active markets, completed or pending third-party transactions in the underlying investment or comparable issuers, and changes in financial ratios or cash flows. Level 3 prices may also be adjusted to reflect illiquidity and/or non-transferability, with the amount of such discount estimated by the Funds in the absence of market information. Assumptions used by the Funds due to the lack of observable inputs may significantly impact the resulting value and therefore the Funds’ results of operations.
The inputs or methodology used for valuing securities are not necessarily an indication of the risk associated with investing in those securities. A financial instrument’s level within the fair value hierarchy is based on the lowest level of any inputs both individually and in the aggregate that is significant to the fair value measurement. The Fund’s policy is to recognize transfers among levels as of the beginning of the reporting period. There were transfers between Level 1 and Level 2 for $6,832,770 in the International Opportunity Fund during the six months ended December 31, 2015. A summary of the inputs used to value the Funds’ investments as of December 31, 2015 is included with each Fund’s Schedule of Investments.
Foreign Currency Translations. The books and records of the Funds are maintained in U.S. dollars. Transactions denominated in foreign currencies are recorded at the prevailing exchange rates on the valuation date. The value of all assets and liabilities denominated in foreign currencies are translated into U.S. dollars at the exchange rate of such currencies against the U.S. dollar daily. The Funds do not isolate that portion of the results of operations resulting from changes in foreign exchange rates on investments from the fluctuations arising from changes in market prices of those investments. Such fluctuations are included with the net realized and unrealized gain or loss from investments that are disclosed within each Fund’s statement of operations, as applicable.
Federal Income Taxes. Each Fund is treated as a separate entity for federal income tax purposes and intends to continue to qualify as a “regulated investment company” under Subchapter M of the Internal Revenue Code of 1986, as amended, and to distribute substantially all of its taxable income to its shareholders. Therefore, no Federal income tax provision has been made.
Accounting for Uncertainty in Income Taxes sets forth a minimum threshold for financial statement recognition of the benefit of a tax position taken or expected to be taken in a tax return. Management has analyzed each of the Fund’s tax positions and has concluded that no provision for U.S. income tax is required in each of the Fund’s financial statements. Each of the Fund’s federal tax returns for the prior three fiscal years remains subject to examination by the Internal Revenue Service. On an ongoing basis, management monitors the Funds’ tax positions to determine if any adjustments to its conclusions are necessary.
CRM Funds | ||||
57 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
Security Transactions and Investment Income. Investment security transactions are accounted for on a trade date basis for financial reporting purposes. Each Fund uses the specific identification method for determining realized gains and losses on investments for both financial and federal income tax reporting purposes. Interest income is recorded on the accrual basis and includes the amortization of premium and the accretion of discount. Dividend income is recorded on the ex-dividend date. The Funds record expenses as incurred. Common expenses of the Trust are allocated on a pro-rata basis among the Funds based on relative net assets.
The Funds’ investments in certain countries are subjected to additional capital gain taxes. Such taxes are due upon sale of individual securities. The Funds accrue for taxes on the capital gains throughout the holding period based on the unrealized gain of the underlying securities as applicable. There were no capital gains taxes for the six months ended December 31, 2015 in the Funds.
Class Accounting. In calculating the NAV per share for each class, investment income, realized and unrealized gains and losses and expenses other than class specific expenses, are allocated daily to each class of shares based upon the proportion of net assets of each class at the beginning of each day.
Repurchase Agreements. Each Fund may, through its custodian, receive delivery of the underlying securities used to collateralize repurchase agreements, the market value of which is required to be in an amount at least equal to 101% of the resale price. The Funds’ investment adviser is responsible for determining that the market value of these underlying securities is maintained at all times at a level at least equal to 101% of the resale price. In event of default of the obligation to repurchase, each Fund has the right to liquidate the collateral and apply the proceeds in satisfaction of the obligation. Provisions of each agreement require that the market value of the collateral is sufficient in the event of default; however, in the event of default or bankruptcy by the other party to the agreement, realization and/or retention of the collateral may be subject to legal proceedings.
Repurchase agreements are entered into by the Funds under Master Repurchase Agreements (“MRA”) which permit the Funds, under certain circumstances including an event of default (such as bankruptcy or insolvency), to offset payables and/or receivables under the MRA with collateral held and/or posted to the counterparty and create one single net payment due to or from the Fund.
At December 31, 2015, the open repurchase agreements by counterparty which are subject to a MRA on a net payment basis are as follows:
Repurchase Agreements | Fair Value of Non-cash Collateral Received1 | Cash Collateral Received | Net Amount2 | |||||||||||||||||
Small Cap Value Fund | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 3,343,473 | $ | 3,343,473 | $ | — | $ | — | ||||||||||||
HSBC Securities | 3,343,473 | 3,343,473 | — | — | ||||||||||||||||
JP Morgan Securities | 3,000,235 | 3,000,235 | — | — | ||||||||||||||||
Royal Bank of Scotland PLC | 3,343,473 | 3,343,473 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 13,030,654 | $ | 13,030,654 | $ | — | $ | — | |||||||||||||
|
|
|
|
|
|
|
|
CRM Funds | ||||
58 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
Repurchase Agreements | Fair Value of Non-cash Collateral Received1 | Cash Collateral Received | Net Amount2 | |||||||||||||||||
Small/Mid Cap Value Fund | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 2,109,604 | $ | 2,109,604 | $ | — | $ | — | ||||||||||||
HSBC Securities | 2,109,604 | 2,109,604 | — | — | ||||||||||||||||
JP Morgan Securities | 444,050 | 444,050 | — | — | ||||||||||||||||
|
| |||||||||||||||||||
Merrill Lynch | 2,109,604 | 2,109,604 | — | — | ||||||||||||||||
Royal Bank of Scotland PLC | 2,109,604 | 2,109,604 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 8,882,466 | $ | 8,882,466 | $ | — | $ | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
Mid Cap Value Fund | ||||||||||||||||||||
Citigroup Global Markets, Inc. | $ | 4,817,454 | $ | 4,817,454 | $ | — | $ | — | ||||||||||||
HSBC Securities | 4,817,454 | 4,817,454 | — | — | ||||||||||||||||
JP Morgan Securities | 4,277,549 | 4,277,549 | — | — | ||||||||||||||||
Royal Bank of Scotland PLC | 4,817,454 | 4,817,454 | — | — | ||||||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
$ | 18,729,911 | $ | 18,729,911 | $ | — | $ | — | |||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
All Cap Value Fund | ||||||||||||||||||||
Nomura Securities Int’l., Inc. | $ | 160,242 | $ | 160,242 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
| |||||||||||||
International Opportunity Fund | ||||||||||||||||||||
Nomura Securities Int’l., Inc. | $ | 509,540 | $ | 509,540 | $ | — | $ | — | ||||||||||||
|
|
|
|
|
|
|
|
1 The collateral value shown is limited by the amount of the repurchase agreement. 2 Net Amount represents the net amount receivable due from the counterparty in the event of default. |
Distributions to Shareholders. Dividends and distributions to shareholders are recorded on the ex-dividend date. Distributions from net investment income and net realized gains, if any, will be declared and paid annually.
Use of Estimates in the Preparation of Financial Statements. The preparation of financial statements in conformity with U.S. GAAP requires management to make estimates and assumptions that affect the reported amounts of assets and liabilities at the date of the financial statements and the reported amounts of revenues and expenses during the reporting period. Actual results could differ from those estimates.
3. | Advisory Fees and Other Transactions with Affiliates. Cramer Rosenthal McGlynn, LLC (“CRM”) serves as investment adviser to the Funds. CRM receives an advisory fee from Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund and Large Cap Opportunity Fund of 0.75% of each Fund’s first $1 billion of average daily net assets; 0.70% of each Fund’s next $1 billion of average daily net assets; and 0.65% of each Fund’s average daily net assets in excess of $2 billion. For its advisory services to All Cap Value Fund, CRM receives 0.95% for the first $1 billion of average daily net assets; 0.90% of the next $1 billion of average daily net assets; and 0.85% in excess of $2 billion of average daily net assets. For its advisory services to the International Opportunity Fund, CRM receives 0.90% for the first $2 billion of average daily net assets and 0.85% in excess of $2 billion of average daily net assets. |
CRM Funds | ||||
59 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
CRM has contractually agreed to waive its fees and reimburse certain operating expenses (excluding taxes, extraordinary expenses, brokerage commissions, acquired fund fees and expenses and interest) (i) with respect to each of Small Cap Value Fund, Small/Mid Cap Value Fund, Mid Cap Value Fund, All Cap Value Fund, and International Opportunity Fund, in an amount that will limit annual operating expenses to not more than 1.50% and 1.25% of average daily net assets for the Investor Shares and Institutional Shares, respectively; and (ii) with respect to Large Cap Opportunity Fund, in an amount that will limit annual operating expenses to not more than 1.15% and 0.90% of average daily net assets for Investor Shares and Institutional Shares, respectively. These undertakings will remain in place until November 1, 2016.
CRM provides compliance services to the Funds. The Chief Compliance Officer (“CCO”) is an employee of CRM. The Funds are responsible for reimbursing CRM for the portion of his salary allocated to his duties as the CCO of the Funds at a rate of $75,000 per year.
Compensation of Trustees and Officers. Except for the CCO of the Funds, trustees and officers of the Funds who are interested persons of CRM, as defined in the 1940 Act, receive no compensation from the Funds.
Trustees of the Funds who are not interested persons of CRM, as defined in the 1940 Act (each an “Independent Trustee”), receive compensation and reimbursement of expenses. Each Independent Trustee receives aggregate annual compensation from the Trust at an annual rate of $75,000. Under a Deferred Compensation Plan (the “Plan”) adopted August 12, 2005, an Independent Trustee may elect to defer receipt of all, or a portion, of his annual compensation. If an Independent Trustee opts for deferral, then the deferred amounts are credited to an Independent Trustee’s deferral account and invested and reinvested in Institutional Shares of one or more of the Funds until such amounts are distributed in accordance with the Plan. No Independent Trustee deferred their compensation earned for the six months ended December 31, 2015. Trustees’ fees reflected in the accompanying financial statements include total compensation earned, which were paid in cash. Each trustee serves during the continued lifetime of the Funds, or until he or she earlier dies, resigns or is removed, or if sooner, until the election and qualification of his successor. Each officer serves until his or her successor is elected or qualified, or until the officer sooner dies, resigns, or is removed or becomes disqualified.
Shareholder Servicing Fees. The Board has adopted a Shareholder Servicing Plan which allows each Fund to obtain, for its Investor Shares, the services of CRM and other qualified financial institutions to act as shareholder servicing agents for its shareholders. Under the Shareholder Servicing Plan, each Fund may pay shareholder servicing agents, including CRM, monthly fees at an annual rate not to exceed 0.25% of the Fund’s average daily net assets attributable to its Investor Shares.
Sub-Transfer Agent Fees. Institutional Shares of each Fund are sold through certain intermediaries that provide accounting, recordkeeping, and/or other services to shareholders. The Board of Trustees has approved payment of the fees charged by these intermediaries for providing these sub-transfer agency services from the assets of the Institutional Shares of each Fund provided these fees do not exceed the charges the Fund would bear for these services if they were provided directly by the Funds’ transfer agent. CRM, as the Funds’ agent, remits these payments to the intermediaries. In some cases, where the sub-transfer agency fees of an intermediary are greater than the amounts paid to CRM by the Funds for that intermediary, CRM will pay the balance of those fees itself.
CRM Funds | ||||
60 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
4. | Investment Securities Transactions. The cost of investments purchased and the proceeds from investments sold (excluding short-term investments) for the six months ended December 31, 2015, were as follows: |
Purchases | Sales | |||||||
Small Cap Value Fund | $ | 143,016,905 | $ | 166,932,192 | ||||
Small/Mid Cap Value Fund | 287,861,742 | 309,718,473 | ||||||
Mid Cap Value Fund | 405,760,261 | 692,119,689 | ||||||
Large Cap Opportunity Fund | 47,742,896 | 24,478,212 | ||||||
All Cap Value Fund | 13,522,378 | 17,395,955 | ||||||
International Opportunity Fund | 7,156,897 | 5,023,394 |
5. | Securities Lending Agreement. The Funds may lend their securities pursuant to a securities lending agreement (“Lending Agreement”) with The Bank of New York Mellon. Security loans made pursuant to the Lending Agreement are required at all times to be secured by cash collateral at least equal to 102% (105% in the case of foreign securities) of the market value of the securities loaned. Cash collateral received, pursuant to investment guidelines established by the Funds and approved by the Board of Trustees, is invested in short-term fixed income securities rated in the highest rating category by nationally recognized statistical rating organizations (or of comparable quality if unrated) with a maturity date of 397 days or less, including corporate obligations and money market mutual funds. All such investments are made at the risk of the Funds and, as such, the Funds are liable for investment losses. The Bank of New York Mellon and the lender retain a portion of the earnings from the collateral investments, with the remainder being retained by the Fund. The Funds record securities lending income net of such allocations. In the event the borrower fails to return loaned securities and the collateral received is insufficient to cover the value of the loaned securities and provided such collateral shortfall is not the result of investment losses, The Bank of New York Mellon has agreed to pay the amount of the shortfall to the Funds, or at its discretion, replace the loaned securities. In the event of default or bankruptcy by The Bank of New York Mellon, realization and/or retention of the collateral may be subject to legal proceedings. |
At December 31, 2015, the following Funds had securities on loan:
Market Value | Cash Collateral | |||||||
Small Cap Value Fund | $13,559,395 | $14,077,654 | ||||||
Small/Mid Cap Value Fund | 8,679,920 | 8,882,466 | ||||||
Mid Cap Value Fund | 19,842,817 | 20,283,911 | ||||||
All Cap Value Fund | 154,971 | 160,242 | ||||||
International Opportunity Fund | 485,147 | 509,540 |
CRM Funds | ||||
61 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
6. | Capital Share Transactions. Transactions in shares of capital stock for the six months ended December 31, 2015 and the year ended June 30, 2015 were as follows: |
For the Six Months | For the Year | |||||||||||||||
Ended December 31, 2015 | Ended June 30, 2015 | |||||||||||||||
Investor Shares | Institutional Shares | Investor Shares | Institutional Shares | |||||||||||||
Small Cap Value Fund | ||||||||||||||||
Sold | 65,732 | 1,171,055 | 217,356 | 2,641,726 | ||||||||||||
Issued on reinvestment of distributions | 759,377 | 2,993,901 | 807,488 | 4,864,879 | ||||||||||||
Redeemed | (528,198 | ) | (6,698,160 | ) | (801,473 | ) | (15,111,815 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 296,911 | (2,533,204 | ) | 223,371 | (7,605,210 | ) | ||||||||||
|
|
|
|
|
|
|
| |||||||||
Small/Mid Cap Value Fund | ||||||||||||||||
Sold | 447,712 | 3,601,143 | 1,429,782 | 5,793,829 | ||||||||||||
Issued on reinvestment of distributions | 526,990 | 5,895,474 | 1,135,242 | 10,913,236 | ||||||||||||
Redeemed | (1,206,945 | ) | (17,046,653 | ) | (12,397,822 | ) | (10,767,300 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | (232,243 | ) | (7,550,036 | ) | (9,832,798 | ) | 5,939,765 | |||||||||
|
|
|
|
|
|
|
| |||||||||
Mid Cap Value Fund | ||||||||||||||||
Sold | 581,388 | 1,375,628 | 1,292,884 | 4,648,709 | ||||||||||||
Issued on reinvestment of distributions | 5,542,660 | 8,097,151 | 4,792,660 | 11,238,645 | ||||||||||||
Redeemed | (3,674,827 | ) | (10,571,052 | ) | (8,504,953 | ) | (42,206,898 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 2,449,221 | (1,098,273 | ) | (2,419,409 | ) | (26,319,544 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Large Cap Opportunity Fund | ||||||||||||||||
Sold | 20,315 | 3,116,834 | 106,796 | 276,926 | ||||||||||||
Issued on reinvestment of distributions | 113,805 | 190,851 | 481,580 | 614,168 | ||||||||||||
Redeemed | (52,936 | ) | (206,672 | ) | (555,138 | ) | (789,935 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase | 81,184 | 3,101,013 | 33,238 | 101,159 | ||||||||||||
|
|
|
|
|
|
|
| |||||||||
All Cap Value Fund | ||||||||||||||||
Sold | 120,987 | 2,139 | 191,369 | 20,127 | ||||||||||||
Issued on reinvestment of distributions | 590,609 | 162,946 | 807,688 | 154,592 | ||||||||||||
Redeemed | (311,129 | ) | (269,150 | ) | (1,996,758 | ) | (202,542 | ) | ||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 400,467 | (104,065 | ) | (997,701 | ) | (27,823 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
International Opportunity Fund | ||||||||||||||||
Sold | 67,650 | 96,452 | 50,351 | 5,411 | ||||||||||||
Issued on reinvestment of distributions | 59,114 | 24,419 | 66,994 | 31,529 | ||||||||||||
Redeemed | 698 | (5,380 | ) | (124,314 | ) | (634,734 | ) | |||||||||
|
|
|
|
|
|
|
| |||||||||
Net increase (decrease) | 127,462 | 115,491 | (6,969 | ) | (597,794 | ) | ||||||||||
|
|
|
|
|
|
|
|
CRM Funds | ||||
62 |
CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Continued)
7. | Federal Tax Information. Distributions to shareholders from net investment income and realized gains are determined in accordance with Federal income tax regulations, which may differ from net investment income and realized gains recognized for financial reporting purposes. Additionally, net short-term realized gains are treated as “ordinary income” for tax purposes. Accordingly, the character of distributions and composition of net assets for tax purposes may differ from those reflected in the accompanying financial statements. To the extent these differences are permanent, such amounts are reclassified within the capital accounts based on the tax treatment; temporary differences do not require such reclassification. |
The total cost of investments and net unrealized appreciation or depreciation for federal income tax purposes were different from amounts reported for financial reporting purposes. The federal tax cost, and related gross unrealized appreciation and depreciation of securities held by each Fund as of December 31, 2015 was as follows:
Tax Cost of | Gross Unrealized Appreciation | Gross Unrealized Depreciation | Net Unrealized Appreciation (Depreciation) on Investments | |||||||||||||||||
Small Cap Value Fund | $ | 350,453,403 | $ | 54,346,886 | $ | (25,888,696 | ) | $ | 28,458,190 | |||||||||||
Small/Mid Cap Value Fund | 610,200,919 | 81,105,191 | (68,422,524 | ) | 12,682,667 | |||||||||||||||
Mid Cap Value Fund | 834,727,001 | 116,652,699 | (91,321,627 | ) | 25,331,072 | |||||||||||||||
Large Cap Opportunity Fund | 54,292,806 | 4,031,607 | (2,985,409 | ) | 1,046,198 | |||||||||||||||
All Cap Value Fund | 23,029,538 | 2,988,611 | (1,163,474 | ) | 1,825,137 | |||||||||||||||
International Opportunity Fund | 13,758,107 | 761,562 | (691,918 | ) | 69,644 |
8. | Contractual Obligations. The Funds enter into contracts in the normal course of business that contain a variety of indemnification obligations. The Funds’ maximum exposure under these arrangements is unknown. However, the Funds have not had prior claims or losses pursuant to these contracts. Management has reviewed the Funds’ existing contracts and expects the risk of liability for indemnity claims to be remote. |
9. | Temporary Borrowing. The Funds participate in a $25 million revolving line of credit to be used for temporary or emergency purposes as an additional source of liquidity to fund redemptions by shareholders. This line of credit agreement is with the Bank of New York Mellon. The Funds are charged an annual commitment fee, which is allocated across the Funds on the basis of each Fund’s allocation of the entire facility. Each Fund may borrow up to a maximum of one third of its net assets under the agreement, except that if a Fund has net assets of less than $100 million, such Fund may borrow up to a maximum of 20% of its net assets. The Trust is charged an annual 0.03% upfront fee as well as an annual fee of 0.17% of the commitment amount which is allocated proportionately to each Fund’s borrowing capabilities. For a Fund that utilizes the revolving line of credit, interest will be charged at a rate of 1.25% plus a negotiated alternative base rate, or overnight rate, depending upon the type of loan. The line of credit is scheduled to expire on October 7, 2016. The Funds had no amounts outstanding as of December 31, 2015 or at any time during the six months then ended. |
10. | Redemption Fees. Shareholders who sell or exchange shares of International Opportunity Fund within 30 days or less after the purchase date are charged a redemption fee of 1.50% of the total redemption amount which is payable to the Fund. The fees are designed to help offset the brokerage commissions, market impacts, and other costs associated with short-term shareholder trading. The fee is accounted for as an addition to paid-in-capital. |
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CRM FUNDS
NOTES TO FINANCIAL STATEMENTS — December 31, 2015 (Unaudited) (Concluded)
11. | Redemptions-In-Kind. During the six months ended December 31, 2015, the Small Cap Value Fund realized $2,172,646 of net losses and the Small/Mid Cap Value Fund realized $14,075,305 of net losses resulting from redemptions-in-kind in which a shareholder redeemed fund shares for securities held by each Fund rather than for cash. The losses are not distributed to the remaining shareholders and they have been reclassified from accumulated undistributed net realized gains (loss) to Capital paid in on shares of beneficial interest. |
12. | Subsequent Events. Management has evaluated the impact of all subsequent events on the Funds and has determined that there were no subsequent events that required recognition or disclosure in the financial statements. |
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CRM FUNDS
OTHER INFORMATION (Unaudited)
Quarterly Portfolio Schedule
The Trust files a complete schedule of portfolio holdings with the SEC for the first and third quarters of each fiscal year (quarters ended September 30 and March 31) on Form N-Q. The Trust’s Form N-Q is available on the SEC’s website at http://www.sec.gov and may be reviewed and copied at the SEC’s Public Reference Room in Washington, D.C. Information on the operation of the SEC’s Public Reference Room may be obtained by calling 1-800-SEC-0330.
Voting Proxies on Fund Portfolio Securities
A description of the policies and procedures that the Trust used to determine how to vote proxies relating to securities held in the Trust’s portfolios is available, without charge and upon request, by calling 800-CRM-2883 and on the SEC’s website at http://www.sec.gov. Information regarding how the Trust voted proxies relating to portfolio securities during the most recent twelve month period ended June 30 is available without charge and upon request by calling 800-CRM-2883, and on the SEC’s website listed above.
Statement of Additional Information
The Statement of Additional Information (“SAI”) for the Funds includes additional information about the Trustees and is available upon request, without charge, by calling 800-CRM-2883 or by visiting the Funds’ website at http://www.crmfunds.com.
Privacy Notice
(THIS PRIVACY NOTICE IS BEING DELIVERED WITH THE FUNDS’ SHAREHOLDER REPORT BUT IS NOT DEEMED TO BE A PART OF THE FUNDS’ SHAREHOLDER REPORT)
Set forth below is the policy of CRM Mutual Fund Trust (the “Trust”) concerning the collection and disclosure of non-public personal information regarding investors and prospective investors in CRM Small Cap Value Fund, CRM Small/Mid Cap Value Fund, CRM Mid Cap Value Fund, CRM Large Cap Opportunity Fund, CRM All Cap Value Fund, and CRM International Opportunity Fund (the “Funds”) who are individuals investing for personal, family, or household purposes. The words “we” and “us” refers to the Trust and the Funds. The words “you” and “your” refers to investors and prospective investors in the Funds who are covered by this policy.
We use administrators, investment managers, custodians, transfer agents, securities brokers, and other third party businesses to conduct many aspects of our business, including processing initial investments, additional investments, redemptions, share transfers, and other transactions that you request. We refer to these third parties below as our “Service Agents.”
As we work together to achieve your investment goals, we will often share with our Service Agents personal and financial information, including, for example, your name, address and telephone number, your e-mail address, your purchases and redemptions of shares of the Funds, your banking arrangements, information on your family members, and your social security number. Our Service Agents may also receive these types of information from other firms that assist us in conducting our business. This information is collected in order to properly handle your account.
To protect the security of your personal and financial information, our Service Agents maintain physical, electronic, and procedural safeguards that meet the standards of applicable laws and regulations.
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CRM FUNDS
OTHER INFORMATION (Unaudited) (Concluded)
We may, and we may authorize our Service Agents to, use your personal and financial information and share it with us, other Service Agents, and affiliates of Service Agents in order to provide you with investment services, improve our services, make our procedures more efficient, implement security measures, and fight fraud.
We will not sell your personal and financial information to any outside party. We obtain from our Service Agents confidentiality agreements that prohibit them from selling or improperly using your personal or financial information.
On occasion, we and our Service Agents may be required to provide information about you and your transactions to governmental agencies, self-regulatory organizations, industry associations and similar bodies in order to fulfill legal and regulatory requirements. In addition, federal, state, and foreign laws give people involved in lawsuits and other legal proceedings the right under certain circumstances to obtain information from us and our Service Agents, including your personal and financial information. We and our Service Agents may make other disclosures to non-affiliated third parties as permitted by law.
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CRM Funds
TRUSTEES
Louis Ferrante, CFA, CPA
Louis Klein, Jr.
Carlos A. Leal, CPA
Clement C. Moore, II
INVESTMENT ADVISER
Cramer Rosenthal McGlynn, LLC
520 Madison Avenue, 20th Floor
New York, NY 10022
DISTRIBUTOR
ALPS Distributors, Inc.
1290 Broadway, Suite 1100
Denver, CO 80203
ADMINISTRATOR & TRANSFER AGENT
BNY Mellon Investment Servicing (US) Inc.
301 Bellevue Parkway
Wilmington, DE 19809
CUSTODIAN
The Bank of New York Mellon
One Wall Street
New York, NY 10286
LEGAL COUNSEL
Morgan, Lewis & Bockius LLP
One Federal Street
Boston, MA 02110
Investor Information:
800-CRM-2883
www.crmfunds.com
This report is authorized for distribution only to
shareholders and to others who have received
current prospectuses of the CRM Funds.
SEMI-ANNUAL REPORT
DECEMBER 31, 2015 (Unaudited)
CRM SMALL CAP
VALUE FUND
CRM SMALL/MID CAP
VALUE FUND
CRM MID CAP
VALUE FUND
CRM LARGE CAP
OPPORTUNITY FUND
CRM ALL CAP
VALUE FUND
CRM INTERNATIONAL
OPPORTUNITY FUND
Item 2. | Code of Ethics. |
Not applicable.
Item 3. | Audit Committee Financial Expert. |
Not applicable.
Item 4. | Principal Accountant Fees and Services. |
Not applicable.
Item 5. | Audit Committee of Listed Registrants. |
Not applicable.
Item 6. | Investments. |
(a) | Schedule of Investments in securities of unaffiliated issuers as of the close of the reporting period is included as part of the report to shareholders filed under Item 1 of this form. |
(b) | Not applicable. |
Item 7. | Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies. |
Not applicable.
Item 8. | Portfolio Managers of Closed-End Management Investment Companies. |
Not applicable.
Item 9. | Purchases of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers. |
Not applicable.
Item 10. Submission of Matters to a Vote of Security Holders.
There have been no material changes to the procedures by which shareholders may recommend nominees to the Registrant’s Board of Trustees.
Item 11. Controls and Procedures.
(a) | The Registrant’s Principal Executive and Principal Financial Officers have concluded that the Registrant’s disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940 (17 CFR 270.30a-3(c))) are effective based on the evaluation of the Registrant’s disclosure controls and procedures as of a date within 90 days of the filing date of this report. |
(b) | There were no changes in the Registrant’s internal control over financial reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940 (17 CFR 270.30a-3(d)) that occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting. |
Item 12. Exhibits.
(a)(1) | Not applicable. |
(a)(2) | Certifications of the Principal Executive Officer and Principal Financial Officer of the Registrant as required by Rule 30a-2(a) under the Investment Company Act of 1940 are attached hereto. |
(a)(3) | Not applicable. |
(b) | Certifications pursuant to Section 906 of the Sarbanes-Oxley Act of 2002 as required by Rule 30a-2(b) under the Investment Company Act of 1940 (17 CFR 270.30a-2(b)), Rule 15d-14(b) under the Securities Exchange Act of 1934 (17 CFR 240.15d-14(b)) and Section 1350 of Chapter 63 of Title 18 of the United States Code (18 U.S.C. 1350) are attached hereto. |
SIGNATURES
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.
(Registrant) | CRM Mutual Fund Trust |
By (Signature and Title)* | /s/ Ronald H. McGlynn | |||
Ronald H. McGlynn, President and Chief Executive Officer (Principal Executive Officer) |
Date | 2/29/16 |
Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.
By (Signature and Title)* | /s/ Ronald H. McGlynn | |||
Ronald H. McGlynn, President and Chief Executive Officer (Principal Executive Officer) |
Date | 2/29/16 |
By (Signature and Title)* | /s/ Carlos A. Leal | |||
Carlos A. Leal, Treasurer and Chief Financial Officer (Principal Financial Officer) |
Date | 2/29/16 |
* | Print the name and title of each signing officer under his or her signature. |